Strong envelope and strong supermartingale: application to reflected bsdes
Probability
2016-01-06 v2
Abstract
We provide several characterizations to identify Strong envelop (for bounded measurable process) and Strong super-martingale (for non-negative right upper semi-continuous process of the class ). As examples of application, we prove existence and uniqueness of reflected backward stochastic differential equation with lower barrier (RBSDB in short) in two cases: . the obstacle is a measurable bounded process; . the obstacle is a right upper semicontinuous optional process of class .
Cite
@article{arxiv.1112.0255,
title = {Strong envelope and strong supermartingale: application to reflected bsdes},
author = {Soufiane Aazizi and Youssef Ouknine},
journal= {arXiv preprint arXiv:1112.0255},
year = {2016}
}