RBSDEs with optional barriers:monotone approximation  

作　　者：Siham Bouhadou Astrid Hilbert Youssef Ouknine 

机构地区：[1]Department of Mathematics,Faculty of Sciences Semlalia,Cadi Ayyad University,Bd.Prince My Abdellah,B.P.2390,40000 Marrakech,Morocco [2]Department of Mathematics,Linnaeus University,Vaxjo 35195,Sweden [3]Africa Business School,Mohammed VI Polytechnic University,Lot 660,Hay Moulay Rachid Ben Guerir,43150,Morocco

出　　处：《Probability, Uncertainty and Quantitative Risk》2022年第2期67-84,共18页概率、不确定性与定量风险（英文）

摘　　要：In this short note we consider reflected backward stochastic differential equations(RBSDEs)with a Lipschitz driver and barrier processes that are optional and right lower semicontinuous.In this case,the barrier is represented as a nondecreasing limit of right continuous with left limit(RCLL)barriers.We combine some well-known existence results for RCLL barriers with comparison arguments for the control process to construct solutions.Finally,we highlight the connection of these RBSDEs with standard RCLL BSDEs.

关 键 词：Reflected backward stochastic differential equation G-EXPECTATION Optional barrier Monotone approximation Comparison principle 

分 类 号：O211.63[理学—概率论与数理统计]