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Reflected BSDEs with regulated trajectories |
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| Authors: | Tomasz Klimsiak Maurycy Rzymowski Leszek Słomiński |
| Affiliation: | 1. Institute of Mathematics, Polish Academy of Sciences, ?niadeckich 8, 00-956 Warszawa, Poland;2. Faculty of Mathematics and Computer Science, Nicolaus Copernicus University, Chopina 12/18, 87-100 Toruń, Poland |
| Abstract: | We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e. trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the solution corresponds to the value of an optimal stopping problem and may be approximated by a modified penalization method. |
| Keywords: | primary 60H10 secondary 60G40 Reflected backward stochastic differential equation Processes with regulated trajectories Modified penalization method Optimal stopping problem |
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