Reflected BSDEs in time-dependent convex regions

We prove the existence and uniqueness of solutions of reflected backward stochastic differential equations in time-dependent adapted and càdlàg convex regions D={Dt;t∈[0,T]}. We also show that the solution may be approximated by solutions of backward equations with reflection in appropriately defined discretizations of D and by a modified penalization method. The approximation results are new even in the one-dimensional case.

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Year of publication:	2015
Authors:	Klimsiak, Tomasz ; Rozkosz, Andrzej ; Słomiński, Leszek
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 2, p. 571-596
Publisher:	Elsevier
Subject:	Reflected backward stochastic differential equation \| Time-dependent convex region \| Penalization method

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011194106