Monotonic limit theorem for BSDEs with regulated trajectories
Statistics & Probability Letters, 2021, vol. 176, issue C
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)
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