反射式BSDEs具有一般过滤和两个完全分离的屏障

Pub Date : 2016-11-21 DOI:10.19195/0208-4147.39.1.13

Mateusz Topolewski

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引用次数: 8

摘要

我们考虑具有两个障碍的反射后向随机微分方程，它们定义在具有过滤的概率空间上，仅满足通常的右连续性和完备性假设。对于障碍，我们假设存在完全分离的D类进程càdlàg。证明了一个可积终条件和一个可积单调发生器解的存在唯一性。给出了零和博弈的一个应用。

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Reflected BSDEs with general filtration and two completely separated barriers

We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right-continuity and completeness. As for barriers, we assume that there are càdlàg processes of class D that are completely separated. We prove the existence and uniqueness of solutions for an integrable final condition and an integrable monotone generator. An application to the zero-sum Dynkin game is given.

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