Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
Probability
2022-04-26 v2
Abstract
In this paper, we study doubly reflected Backward Stochastic Differential Equations defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness in the case where the barriers L and U don't satisfy any regularity assumption (without right continuity). We suppose that the barriers L and U and their left limits are completely separated and we show existence and uniqueness of the solution.
Keywords
Cite
@article{arxiv.1812.07383,
title = {Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration},
author = {Brahim Baadi},
journal= {arXiv preprint arXiv:1812.07383},
year = {2022}
}