Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition

DOI10.3934/cpaa.2016.15.1139zbMath1348.60085OpenAlexW2338008690MaRDI QIDQ323988

Imen Hassairi

Publication date: 10 October 2016

Published in: Communications on Pure and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/cpaa.2016.15.1139

zbMATH Keywords

penalizationbackward stochastic differential equationslocal solutionMokobodzki's hypothesisSnell envelope

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integral equations (60H20) (L^p)-limit theorems (60F25)

Related Items (5)

Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration ⋮ Backward stochastic differential equations with two barriers and generalized reflection ⋮ Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Mean-field doubly reflected backward stochastic differential equations ⋮ Reflected BSDEs with general filtration and two completely separated barriers

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