Reflected BSDEs when the obstacle is not right-continuous and optimal stopping

DOI10.1214/17-AAP1278zbMath1379.60045arXiv1504.06094MaRDI QIDQ1688029

Elias Offen, Marie-Claire Quenez, Peter Imkeller, Miryana Grigorova, Youssef Ouknine

Publication date: 4 January 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.06094

zbMATH Keywords

optimal stoppingbackward stochastic differential equationdynamic risk measurereflected backward stochastic differential equation\(f\)-expectationMertens decompositionstrong \(\mathcal{E}^{f}\)-supermartingalestrong optional supermartingale

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

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