Doubly Reflected BSDEs in the predictable setting
| Autor: | Arharas, Ihsan, Bouhadou, Siham, Ouknine, Youssef |
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| Rok vydání: | 2019 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general filtration that is essentially non quasi-left continuous, where the barriers are assumed to be predictable processes. We call these equations predictable DRBSDEs. Under a general type of Mokobodzki's condition, we show the existence of the solution (in consideration of the driver's nature) through a Picard iteration method and a Banach fixed point theorem. By using an appropriate generalization of It\^o's formula due to Gal'chouk and Lenglart, we provide a suitable a priori estimates which immediately implies the uniqueness of the solution. Comment: 26 pages |
| Databáze: | arXiv |
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