Work

Doubly reflected generalized BSDEs with two completely separated RCLL barriers in a general filtration

Year: 2025

Type: article

Abstract: In this paper, we investigate doubly reflected generalized backward stochastic differential equations with two reflecting right-continuous with left-limited barriers in a general filtration supporting a Brownian motion and an independent integer-valued random measure. We establish the existence and uniqueness of the solution when the barriers and their left limits are completely separated without assuming Mokobodski’s hypothesis or the regularity condition.

Source: Random Operators and Stochastic Equations

DOI: 10.1515/rose-2025-2029

Authors: Badr Elmansouri, Mohamed El Otmani

Institution: Université Ibn Zohr

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,712

Funder: Centre National pour la Recherche Scientifique et Technique