Reflected BSDEs with regulated trajectories

Tomasz Klimsiak, Maurycy Rzymowski and Leszek Słomiński

Stochastic Processes and their Applications, 2019, vol. 129, issue 4, 1153-1184

Abstract: We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e. trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the solution corresponds to the value of an optimal stopping problem and may be approximated by a modified penalization method.

Keywords: Reflected backward stochastic differential equation; Processes with regulated trajectories; Modified penalization method; Optimal stopping problem (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spa.2018.04.011

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