Reflected BSDEs with regulated trajectories

Autor:	Leszek Słomiński, Tomasz Klimsiak, Maurycy Rzymowski
Rok vydání:	2019
Předmět:	Statistics and Probability Left and right Applied Mathematics Modeling and Simulation Applied mathematics Optimal stopping Uniqueness Value (mathematics) Mathematics
Zdroj:	Stochastic Processes and their Applications. 129:1153-1184
ISSN:	0304-4149
DOI:	10.1016/j.spa.2018.04.011
Popis:	We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e. trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the solution corresponds to the value of an optimal stopping problem and may be approximated by a modified penalization method.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::443af4f909523860ab290273d0d7529d https://doi.org/10.1016/j.spa.2018.04.011 Zobrazit plný text záznamu Full Text from ScienceDirect