A note on optional Snell envelopes and reflected backward SDEs

Mohamed Marzougue

Statistics & Probability Letters, 2020, vol. 165, issue C

Abstract: In this note we introduce a notion of optional Snell envelopes over the so-called split stopping times. As application, we give a solution to reflected backward stochastic differential equations when the barrier is an optional positive process neither right-continuous nor left-continuous.

Keywords: Optional Snell envelopes; Split stopping times; Reflected backward stochastic differential equations; Mertens decomposition (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2020.108833

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