Grigorova, Miryana; Imkeller, Peter; Quenez, Marie-Claire; Ouknine, Youssef: Doubly Reflected BSDEs and $\mathcal{E}$$^ƒ$-Dynkin games: beyond the right-continuous case. In: . Jg.598. 2018, S. 31 ff.
Inhalt
- Introduction
- Preliminaries
- Doubly Reflected BSDE whose obstacles are irregular
- Definition and first properties
- The case when f does not depend on the solution
- Equivalent formulation
- Existence of a (minimal) solution of the coupled system of RBSDEs
- Uniqueness of the solution
- The case of a general Lipschitz driver f(t,y,z,k )
- Doubly reflected BSDEs with irregular barriers and Ef-Dynkin games with irregular rewards
- The case where is right upper-semicontinuous and is right lower-semicontinuous
- The general irregular case
- Two useful corollaries
- Appendix
- References