On Generalized Reflected BSDEs with Rcll Obstacle

El Jamali Mohamed () and El Otmani Mohamed ()
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El Jamali Mohamed: Laboratory of Analysis and Applied Mathematics (LAMA), Faculty of Sciences Agadir, Ibn Zohr University, Agadir, Morocco
El Otmani Mohamed: Laboratory of Analysis and Applied Mathematics (LAMA), Faculty of Sciences Agadir, Ibn Zohr University, Agadir, Morocco

Stochastics and Quality Control, 2022, vol. 37, issue 1, 1-19

Abstract: This paper proves the existence and uniqueness theorem for generalized (reflected) backward stochastic differential equations under stochastic Lipschitz and monotone condition. The result is shown by using Picard’s iteration, the Snell envelope theory and the penalization method.

Keywords: Generalized BSDEs; Rcll barrier; Stochastic Lipschitz (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:ecqcon:v:37:y:2022:i:1:p:1-19:n:5

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DOI: 10.1515/eqc-2022-0001

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