Reflected backward stochastic differential equations with two optional barriers
Probability
2019-10-10 v1
Abstract
We consider reflected backward stochastic differential equations with two general optional barriers. The solutions to these equations have the so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove the existence and uniqueness of solutions, , and show that the solutions may be approximated by a modified penalization method.
Cite
@article{arxiv.1810.07969,
title = {Reflected backward stochastic differential equations with two optional barriers},
author = {Tomasz Klimsiak and Maurycy Rzymowski and Leszek Słomiński},
journal= {arXiv preprint arXiv:1810.07969},
year = {2019}
}