English

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 \Dc\Dc). As examples of application, we prove existence and uniqueness of reflected backward stochastic differential equation with lower barrier (RBSDB in short) in two cases: i)i). the obstacle is a measurable bounded process; ii)ii). the obstacle is a right upper semicontinuous optional process of class \Dc\Dc.

Keywords

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}
}
R2 v1 2026-06-21T19:44:50.033Z