RBSDEs with optional barriers:monotone approximation

作     者：Siham Bouhadou Astrid Hilbert Youssef Ouknine Siham Bouhadou;Astrid Hilbert;Youssef Ouknine

作者机构：Department of MathematicsFaculty of Sciences SemlaliaCadi Ayyad UniversityBd.Prince My AbdellahB.P.239040000 MarrakechMorocco Department of MathematicsLinnaeus UniversityVaxjo 35195Sweden Africa Business SchoolMohammed VI Polytechnic UniversityLot 660Hay Moulay Rachid Ben Guerir43150Morocco 

出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)

年 卷 期：2022年第7卷第2期

页      面：67-84页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Reflected backward stochastic differential equation g-expectation Optional barrier Monotone approximation Comparison principle 

摘      要：In this short note we consider reflected backward stochastic differential equations(RBSDEs)with a Lipschitz driver and barrier processes that are optional and right lower *** this case,the barrier is represented as a nondecreasing limit of right continuous with left limit(RCLL)*** combine some well-known existence results for RCLL barriers with comparison arguments for the control process to construct ***,we highlight the connection of these RBSDEs with standard RCLL BSDEs.