Reflected BSDEs with regulated trajectories
Probability
2019-10-10 v1
Abstract
We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the solution may be approximated by a modified penalization method. Application to an optimal stopping problem is given.
Keywords
Cite
@article{arxiv.1608.08926,
title = {Reflected BSDEs with regulated trajectories},
author = {Tomasz Klimsiak and Maurycy Rzymowski and Leszek Słomiński},
journal= {arXiv preprint arXiv:1608.08926},
year = {2019}
}