Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
Probability
2021-12-02 v1
Abstract
We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only continuous and non-increasing. We assume that data are merely integrable and the terminal time is an arbitrary (possibly infinite) stopping time. We study the problem of existence and uniqueness of solutions, and their connections with the value process in nonlinear Dynkin games.
Keywords
Cite
@article{arxiv.2001.06736,
title = {Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space},
author = {Tomasz Klimsiak and Maurycy Rzymowski},
journal= {arXiv preprint arXiv:2001.06736},
year = {2021}
}