Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem

DOI10.1142/S0219493721500490zbMath1498.60157OpenAlexW3166924832MaRDI QIDQ5021120

Youssef Ouknine, Siham Bouhadou

Publication date: 12 January 2022

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493721500490

zbMATH Keywords

optimal stoppingreflected backward stochastic differential equationno quasi-left-continuous filtrationpredictable Snell envelopepredictable supermartingale

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (3)

RBSDEs with optional barriers: monotone approximation ⋮ Irregular barrier reflected BSDEs driven by a Lévy process ⋮ Doubly reflected backward stochastic differential equations in the predictable setting

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