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Monotonic limit theorem for BSDEs with regulated trajectories

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  • Marzougue, Mohamed

Abstract

In this paper, a new monotonic limit theorem for regulated processes is developed, from that proved by Peng (1999). This theorem is a useful tool to prove the existence theorem of reflected backward stochastic differential equation when the barrier has regulated trajectories (not necessarily right-continuous) by means of penalization method.

Suggested Citation

  • Marzougue, Mohamed, 2021. "Monotonic limit theorem for BSDEs with regulated trajectories," Statistics & Probability Letters, Elsevier, vol. 176(C).
    • Handle: RePEc:eee:stapro:v:176:y:2021:i:c:s0167715221001139
    DOI: 10.1016/j.spl.2021.109151
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    References listed on IDEAS

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    1. 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.
    2. Miryana Grigorova & Peter Imkeller & Elias Offen & Youssef Ouknine & Marie-Claire Quenez, 2017. "Reflected BSDEs when the obstacle is not right-continuous and optimal stopping," Post-Print hal-01141801, HAL.
    3. Marzougue, Mohamed, 2020. "A note on optional Snell envelopes and reflected backward SDEs," Statistics & Probability Letters, Elsevier, vol. 165(C).
    4. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    5. Grigorova, Miryana & Imkeller, Peter & Ouknine, Youssef & Quenez, Marie-Claire, 2020. "Optimal stopping with f-expectations: The irregular case," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1258-1288.
    6. Miryana Grigorova & Peter Imkeller & Elias Offen & Youssef Ouknine & Marie-Claire Quenez, 2015. "Reflected BSDEs when the obstacle is not right-continuous and optimal stopping," Papers 1504.06094, arXiv.org, revised May 2017.
    7. Klimsiak, Tomasz & Rzymowski, Maurycy & Słomiński, Leszek, 2019. "Reflected BSDEs with regulated trajectories," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1153-1184.
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    Cited by:

    1. Marzougue, Mohamed, 2023. "Non-linear Dynkin games over split stopping times," Statistics & Probability Letters, Elsevier, vol. 193(C).

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