Reflected BSDEs on filtered probability spaces

Tomasz Klimsiak

Stochastic Processes and their Applications, 2015, vol. 125, issue 11, 4204-4241

Abstract: We study the problem of existence and uniqueness of solutions of backward stochastic differential equations with two reflecting irregular barriers, Lp data and generators satisfying weak integrability conditions. We deal with equations on general filtered probability spaces. In case the generator does not depend on the z variable, we first consider the case p=1 and we only assume that the underlying filtration satisfies the usual conditions of right-continuity and completeness. Additional integrability properties of solutions are established if p∈(1,2] and the filtration is quasi-continuous. In case the generator depends on z, we assume that p=2, the filtration satisfies the usual conditions and additionally that it is separable. Our results apply for instance to Markov-type reflected backward equations driven by general Hunt processes.

Keywords: Reflected BSDE; General filtration; L1 data (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414915001556
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:125:y:2015:i:11:p:4204-4241

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2015.06.006

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().