A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations

DOI10.1214/16-AIHP798zbMath1434.60134arXiv1507.06423OpenAlexW2243005506MaRDI QIDQ1635964

Dylan Possamaï, Chao Zhou, Xiaolu Tan, Bruno Bouchard

Publication date: 1 June 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.06423

zbMATH Keywords

Doob-Meyer decompositionsupersolutionbackward SDEreflected backward SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48)

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