Reflections on BSDEs
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2023
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| Soggetti: | |
| Accesso online: | |
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| _version_ | 1866929625697878016 |
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| author | Possamaï, Dylan Rodrigues, Marco |
| author_facet | Possamaï, Dylan Rodrigues, Marco |
| contents | We prove well-posedness results for backward stochastic differential equations (BSDEs) and reflected BSDEs with an optional obstacle process in the case of appropriately weighted $\mathbb{L}^2$-data when the generator is integrated with respect to a possibly purely discontinuous process. This leads to a unified treatment of discrete-time and continuous-time (reflected) BSDEs. We compare our well-posedness results with the current literature and highlight that our results are sharp and cannot be improved within the framework presented here. Finally, we provide sufficient conditions for a comparison principle. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2306_14615 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Reflections on BSDEs Possamaï, Dylan Rodrigues, Marco Probability Optimization and Control We prove well-posedness results for backward stochastic differential equations (BSDEs) and reflected BSDEs with an optional obstacle process in the case of appropriately weighted $\mathbb{L}^2$-data when the generator is integrated with respect to a possibly purely discontinuous process. This leads to a unified treatment of discrete-time and continuous-time (reflected) BSDEs. We compare our well-posedness results with the current literature and highlight that our results are sharp and cannot be improved within the framework presented here. Finally, we provide sufficient conditions for a comparison principle. |
| title | Reflections on BSDEs |
| topic | Probability Optimization and Control |
| url | https://arxiv.org/abs/2306.14615 |