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A general comparison theorem for reflected BSDEs

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  • Kim, Mun-Chol
  • O, Hun

Abstract

In this paper, we deal with a large class of reflected backward stochastic differential equations (RBSDEs for short) with an arbitrary filtered probability space. We prove the comparison theorem for them in three different methods: a direct argument, characterization method and penalization method.

Suggested Citation

  • Kim, Mun-Chol & O, Hun, 2021. "A general comparison theorem for reflected BSDEs," Statistics & Probability Letters, Elsevier, vol. 173(C).
    • Handle: RePEc:eee:stapro:v:173:y:2021:i:c:s0167715221000201
    DOI: 10.1016/j.spl.2021.109058
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    References listed on IDEAS

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    1. Cohen, Samuel N., 2012. "Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1601-1626.
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    3. Lepeltier, J.-P. & Xu, M., 2005. "Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 58-66, November.
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    7. Rozkosz, Andrzej & Słomiński, Leszek, 2012. "Lp solutions of reflected BSDEs under monotonicity condition," Stochastic Processes and their Applications, Elsevier, vol. 122(12), pages 3875-3900.
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