Reflected BSDEs when the obstacle is not right-continuous in a general filtration

zbMath1361.60040arXiv1812.07990MaRDI QIDQ2974529

Youssef Ouknine, Brahim Baadi

Publication date: 10 April 2017

Full work available at URL: https://arxiv.org/abs/1812.07990

zbMATH Keywords

optimal stoppingBrownian motionPoisson random measurereflected backward stochastic differential equationsupermartingalegeneral filtrationMertens decomposition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Random measures (60G57)

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