Monotonic limit theorem for BSDEs with regulated trajectories

Mohamed Marzougue

Statistics & Probability Letters, 2021, vol. 176, issue C

Abstract: In this paper, a new monotonic limit theorem for regulated processes is developed, from that proved by Peng (1999). This theorem is a useful tool to prove the existence theorem of reflected backward stochastic differential equation when the barrier has regulated trajectories (not necessarily right-continuous) by means of penalization method.

Keywords: Monotonic limit theorem; Regulated processes; Reflected backward stochastic differential equations; Penalization method (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2021.109151

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