REFLECTED BSDES WHEN THE OBSTACLE IS NOT RIGHT-CONTINUOUS AND OPTIMAL STOPPING

• 成果类型: Article
• 署名作者: Grigorova, Miryana; Imkeller, Peter; Offen, Elias; Ouknine, Youssef; Quenez, Marie-Claire
• 署名单位: Humboldt University of Berlin; University of Botswana; Cadi Ayyad University of Marrakech; Universite Paris Cite
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/17-AAP1278
• 发表日期: 2017
• 页码: 3153-3188
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS; backward sdes; Risk measures; jumps

摘要

In the first part of the paper, we study reflected backward stochastic differential equations (RBSDEs) with lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous. We prove existence and uniqueness of the solutions to such RBSDEs in appropriate Banach spaces. The result is established by using some results from optimal stopping theory, some tools from the general theory of processes such as Mertens' decomposition of optional strong supermartingales, as well as an appropriate generalization of Ito's formula due to Gal'chouk and Lenglart. In the second part of the paper, we provide some links between the RBSDE studied in the first part and an optimal stopping problem in which the risk of a financial position. is assessed by an f-conditional expectation epsilon(f) (.) (where f is a Lipschitz driver). We characterize the value function of the problem in terms of the solution to our RBSDE. Under an additional assumption of left upper-semicontinuity along stopping times on., we show the existence of an optimal stopping time. We also provide a generalization of Mertens' decomposition to the case of strong epsilon(f)-supermartingales.