Research Communication | Open Access
Volume 2019 | Communication ID 141
Volume 2019 | Communication ID 141
| Reflected BSDE with optional barrier and stochastic Lipschitz coefficient |
Mohamed Marzougue, Mohamed El Otmani
Received |
Accepted |
Published |
Jan 29, 2019 |
Feb 26, 2019 |
Mar 01, 2019 |
Abstract: we prove the existence and uniqueness of a solution to reflected backward stochastic differential equations with a lower obstacle which is assumed to be right upper-semicontinuous. The result is established where the coefficient is stochastic Lipschitz by using some tools from the general theory of processes such as Mertens decomposition of optional strong supermartingales and other tools from optimal stopping theory.