SECOND-ORDER REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND SECOND-ORDER BSDES WITH GENERAL REFLECTION AND GAME OPTIONS UNDER UNCERTAINTY (vol 31, pg 1505, 2021)

• 成果类型: Correction
• 署名作者: Matoussi, Anis; Possamai, Dylan; Zhou, Chao
• 署名单位: Institut Polytechnique de Paris; Ecole Polytechnique; Le Mans Universite; Swiss Federal Institutes of Technology Domain; ETH Zurich; National University of Singapore
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/20-AAP1622
• 发表日期: 2021
• 页码: 1505-1522
• 关键词: AMERICAN OPTIONS

摘要

The aim of this short note is to fill in a gap in our earlier paper (Ann. Appl. Probab. 23 (2013) 2420-2457) on 2BSDEs with reflections, and to explain how to correct the subsequent results in the second paper (Stochastic Process. Appl. 124 (2014) 2281-2321). We also provide more insight on the properties of 2RBSDEs, in the light of the recent contributions (Li and Peng (2017); Soumana Hima (2017)) in the so-called G-framework.