Reflected BSDEs in time-dependent convex regions

Tomasz Klimsiak, Andrzej Rozkosz and Leszek Słomiński

Stochastic Processes and their Applications, 2015, vol. 125, issue 2, 571-596

Abstract: We prove the existence and uniqueness of solutions of reflected backward stochastic differential equations in time-dependent adapted and càdlàg convex regions D={Dt;t∈[0,T]}. We also show that the solution may be approximated by solutions of backward equations with reflection in appropriately defined discretizations of D and by a modified penalization method. The approximation results are new even in the one-dimensional case.

Keywords: Reflected backward stochastic differential equation; Time-dependent convex region; Penalization method (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spa.2014.09.013

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