当前位置: X-MOL 学术Stoch. Process. their Appl. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
Stochastic Processes and their Applications ( IF 1.4 ) Pub Date : 2021-01-18 , DOI: 10.1016/j.spa.2020.12.008
Tomasz Klimsiak

We introduce a new class of reflected backward stochastic differential equations with two càdlàg barriers, which need not satisfy any separation conditions. For that reason, in general, the solutions are not semimartingales. We prove existence, uniqueness and approximation results for solutions of equations defined on general filtered probability spaces. Applications to nonlinear Dynkin games are given.



中文翻译:

反映的BSDE的非半零售解决方案及其在Dynkin游戏中的应用

我们引入一类新的具有两个càdlàg壁垒的反射后向随机微分方程,它们不需要满足任何分离条件。因此,总的来说,解决方案不是半市场。我们证明了在一般滤波概率空间上定义的方程解的存在性,唯一性和逼近结果。给出了非线性Dynkin游戏的应用。

更新日期:2021-01-25
down
wechat
bug