Reflected BSDEs with optional barrier in a general filtration

DOI10.1007/s13370-018-0600-6zbMath1413.60045OpenAlexW2804025544MaRDI QIDQ1715756

Brahim Baadi, Youssef Ouknine

Publication date: 29 January 2019

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13370-018-0600-6

zbMATH Keywords

backward stochastic differential equationreflected backward stochastic differential equationgeneral filtrationprocesses optionalstrong optional super-martingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Percolation (82B43)

Related Items (11)

Predictable solution for reflected BSDEs when the obstacle is not right-continuous ⋮ Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration ⋮ Unnamed Item ⋮ Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ Irregular barrier reflected BSDEs driven by a Lévy process ⋮ A note on optional Snell envelopes and reflected backward SDEs ⋮ Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions ⋮ Monotonic limit theorem for BSDEs with regulated trajectories ⋮ Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space

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