Grigorova, Miryana; Imkeller, Peter; Quenez, Marie-Claire; … - 2018
We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and...