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Contents of PMS, Vol. 39, Fasc. 13,
pages 199 - 218
DOI: 10.19195/0208-4147.39.1.13
 

REFLECTED BSDEs WITH GENERAL FILTRATION AND TWO COMPLETELY SEPARATED BARRIERS

Mateusz Topolewski

Abstract: We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right-continuity and completeness. As for barriers, we assume that there are cądląg processes of class D that are completely separated. We prove the existence and uniqueness of solutions for an integrable final condition and an integrable monotone generator. An application to the zero-sum Dynkin game is given.

2000 AMS Mathematics Subject Classification: Primary: 60H10; Secondary: 60H30, 60H99.

Keywords and phrases: Reflected BSDE, general filtration, completely separated barriers, L1 data.

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