Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
نویسندگان
چکیده
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 semimartingales. prove existence, uniqueness and approximation results for defined on general filtered probability spaces. Applications to nonlinear Dynkin games given.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2021
ISSN: ['1879-209X', '0304-4149']
DOI: https://doi.org/10.1016/j.spa.2020.12.008