On Generalized Reflected BSDEs with Rcll Obstacle

Abstract This paper proves the existence and uniqueness theorem for generalized (reflected) backward stochastic differential equations under stochastic Lipschitz and monotone condition. The result is shown by using Picard’s iteration, the Snell envelope theory and the penalization method.

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Year of publication:	2022
Authors:	El Jamali, Mohamed ; El Otmani, Mohamed
Published in:	Stochastics and Quality Control. - De Gruyter, ISSN 2367-2404, ZDB-ID 2905267-1. - Vol. 37.2022, 1, p. 1-19
Publisher:	De Gruyter
Subject:	Generalized BSDEs \| Rcll barrier \| Stochastic Lipschitz

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.1515/eqc-2022-0001 [DOI]
Source:	Other ZBW resources

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