most citedReflected BSDEs and doubly reflected BSDEs driven by RCLL martingales

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math.PR2021★ 2 cited

Reflected BSDEs and doubly reflected BSDEs driven by RCLL martingales

Tianyang Nie, Marek Rutkowski

We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encomp…

math.PR2021★ 1 cited

Existence, uniqueness and strict comparison theorems for backward stochastic differential equations driven by RCLL martingales

Tianyang Nie, Marek Rutkowski

Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is to develop a general m…