Reflected backward stochastic differential equations with two optional barriers

被引：8

作者：

Klimsiak, Tomasz ^{[1
]}

Rzymowski, Maurycy ^{[1
]}

Slominski, Leszek ^{[1
]}

机构：

[1] Nicolaus Copernicus Univ, Fac Math & Comp Sci, Chopina 12-18, PL-87100 Torun, Poland

来源：

BULLETIN DES SCIENCES MATHEMATIQUES | 2020年 / 158卷

关键词：

Reflected backward stochastic differential equation; Optional barriers; Processes with regulated trajectories; Modified penalization method; L-P SOLUTIONS; BSDES; OBSTACLE; MONOTONICITY;

D O I：

10.1016/j.bulsci.2019.102820

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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 L-p solutions, p >= 1, and show that the solutions may be approximated by a modified penalization method. (C) 2019 Elsevier Masson SAS. All rights reserved.

引用

页数：49

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