Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale

DOI10.1080/17442508.2019.1635599zbMath1490.60073OpenAlexW2954086233WikidataQ127560062 ScholiaQ127560062MaRDI QIDQ5086484

Khadija Akdim, Youssef Ouknine, Mouna Haddadi

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2019.1635599

zbMATH Keywords

reflected backward stochastic differential equationSnell envelopeMertens decompositionstrong optional supermartingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07)

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Predictable solution for reflected BSDEs when the obstacle is not right-continuous, Unnamed Item, 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, Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions, Monotonic limit theorem for BSDEs with regulated trajectories

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