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A general comparison theorem for reflected BSDEs

Mun-Chol Kim and Hun O

Statistics & Probability Letters, 2021, vol. 173, issue C

Abstract: In this paper, we deal with a large class of reflected backward stochastic differential equations (RBSDEs for short) with an arbitrary filtered probability space. We prove the comparison theorem for them in three different methods: a direct argument, characterization method and penalization method.

Keywords: Reflected backward stochastic differential equation; Comparison theorem; Filtered probability space; Girsanov theorem; Characterization; Penalization method (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109058

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