Reflections on BSDEs

Abstract

We prove well-posedness results for backward stochastic differential equations (BSDEs) and reflected BSDEs with an optional obstacle process in the case of appropriately weighted ${\mathbb{L}}^2$-data when the generator is integrated with respect to a possibly purely discontinuous process. This leads to a unified treatment of discrete-time and continuous-time (reflected) BSDEs. We compare our well-posedness results with the current literature and highlight that our results are sharp and cannot be improved within the framework presented here. Finally, we provide sufficient conditions for a comparison principle.

64 pages; corresponds to the version published in the 'Electronic Journal of Probability'