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Reflections on BSDEs - MaRDI portal

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Reflections on BSDEs

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Publication:6510757

arXiv2306.14615MaRDI QIDQ6510757

Author name not available (Why is that?)


Abstract: We consider backward stochastic differential equations (BSDEs) and reflected BSDEs in the generality that should in principle allow for a unified study of certain discrete-time and continuous-time control problems. We provide well-posedness results for the BSDEs and reflected BSDEs with optional obstacle process in case of appropriately weighted mathbbL2-data. We compare our well-posedness results with the current literature and point out that our well-posedness result for the BSDE is sharp within the framework presented here. Finally, we provide sufficient conditions for a comparison principle.












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