Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient

DOI10.1142/s0219493724500011zbMath1537.60067MaRDI QIDQ6540653

Badr Elmansouri, Mohamed El Otmani

Publication date: 17 May 2024

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

zbMATH Keywords

penalization methoddoubly reflected backward stochastic differential equationsinitial enlargement of filtrationAzéma's martingalestochastic Lipschitz coefficientgame contingent claimsRCLL martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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