Reflected backward stochastic differential equations with two optional barriers

Autor: Leszek Słomiński, Maurycy Rzymowski, Tomasz Klimsiak
Jazyk: angličtina
Rok vydání: 2018
Předmět:
Popis: We consider reflected backward stochastic differential equations with two general optional barriers. The solutions to these equations have the so-called regulated trajectories, i.e. trajectories with left and right finite limits. We prove the existence and uniqueness of L p solutions, p ≥ 1 , and show that the solutions may be approximated by a modified penalization method.
Databáze: OpenAIRE