{"title":"反射式BSDEs具有一般过滤和两个完全分离的屏障","authors":"Mateusz Topolewski","doi":"10.19195/0208-4147.39.1.13","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":48996,"journal":{"name":"Probability and Mathematical Statistics-Poland","volume":"1 1","pages":""},"PeriodicalIF":0.4000,"publicationDate":"2016-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"8","resultStr":"{\"title\":\"Reflected BSDEs with general filtration and two completely separated barriers\",\"authors\":\"Mateusz Topolewski\",\"doi\":\"10.19195/0208-4147.39.1.13\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":48996,\"journal\":{\"name\":\"Probability and Mathematical Statistics-Poland\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2016-11-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"8\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Probability and Mathematical Statistics-Poland\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.19195/0208-4147.39.1.13\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Probability and Mathematical Statistics-Poland","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.19195/0208-4147.39.1.13","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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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PROBABILITY AND MATHEMATICAL STATISTICS is published by the Kazimierz Urbanik Center for Probability and Mathematical Statistics, and is sponsored jointly by the Faculty of Mathematics and Computer Science of University of Wrocław and the Faculty of Pure and Applied Mathematics of Wrocław University of Science and Technology. The purpose of the journal is to publish original contributions to the theory of probability and mathematical statistics.
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