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Monotonic limit theorem for BSDEs with regulated trajectories
Statistics & Probability Letters ( IF 0.8 ) Pub Date : 2021-05-12 , DOI: 10.1016/j.spl.2021.109151
Mohamed Marzougue

In this paper, a new monotonic limit theorem for regulated processes is developed, from that proved by Peng (1999). This theorem is a useful tool to prove the existence theorem of reflected backward stochastic differential equation when the barrier has regulated trajectories (not necessarily right-continuous) by means of penalization method.



中文翻译:

具有规则轨迹的BSDE的单调极限定理

本文从Peng(1999)证明的观点出发,为调节过程开发了一个新的单调极限定理。该定理是一种有用的工具,可以证明当障碍物通过罚分法调节了轨迹(不一定是右连续)时,反映了倒向随机微分方程的存在性定理。

更新日期:2021-05-17
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