Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games

Tomasz Klimsiak

Stochastic Processes and their Applications, 2021, vol. 134, issue C, 208-239

Abstract: We introduce a new class of reflected backward stochastic differential equations with two càdlàg barriers, which need not satisfy any separation conditions. For that reason, in general, the solutions are not semimartingales. We prove existence, uniqueness and approximation results for solutions of equations defined on general filtered probability spaces. Applications to nonlinear Dynkin games are given.

Keywords: Reflected backward stochastic differential equations; Dynkin games (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spa.2020.12.008

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