UNIVERSITY
OF WROC£AW
 
Main Page
Contents
Online First
General Information
Instructions for authors


VOLUMES
44.1 43.2 43.1 42.2 42.1 41.2 41.1
40.2 40.1 39.2 39.1 38.2 38.1 37.2
37.1 36.2 36.1 35.2 35.1 34.2 34.1
33.2 33.1 32.2 32.1 31.2 31.1 30.2
30.1 29.2 29.1 28.2 28.1 27.2 27.1
26.2 26.1 25.2 25.1 24.2 24.1 23.2
23.1 22.2 22.1 21.2 21.1 20.2 20.1
19.2 19.1 18.2 18.1 17.2 17.1 16.2
16.1 15 14.2 14.1 13.2 13.1 12.2
12.1 11.2 11.1 10.2 10.1 9.2 9.1
8 7.2 7.1 6.2 6.1 5.2 5.1
4.2 4.1 3.2 3.1 2.2 2.1 1.2
1.1
 
 
WROC£AW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 39, Fasc. 13,
pages 199 - 218
DOI: 10.19195/0208-4147.39.1.13
 

REFLECTED BSDEs WITH GENERAL FILTRATION AND TWO COMPLETELY SEPARATED BARRIERS

Mateusz Topolewski

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 cądląg 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.

2000 AMS Mathematics Subject Classification: Primary: 60H10; Secondary: 60H30, 60H99.

Keywords and phrases: Reflected BSDE, general filtration, completely separated barriers, L1 data.

Download:    Abstract    Full text   Abstract + References