Backward stochastic differential equations with two barriers and generalized reflection

Adrian Falkowski and Leszek Słomiński

Stochastic Processes and their Applications, 2020, vol. 130, issue 8, 4746-4765

Abstract: We prove the existence and uniqueness of solutions of backward stochastic differential equations (BSDEs) with generalized reflection at time dependent càdlàg barriers. The reflection model we consider includes, as special cases, the standard reflection as well as the mirror reflection studied earlier in the theory of forward stochastic differential equations. We also show that the solution of BSDEs with generalized reflection corresponds to the value of an optimal stopping problem.

Keywords: Reflected backward stochastic differential equation; Generalized reflection; Optimal stopping problem (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:8:p:4746-4765

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DOI: 10.1016/j.spa.2020.01.015

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