9 papers
A Quantitative Characterization of the Mokobodzki Condition
Tomasz Klimsiak, Maurycy Rzymowski
We establish a quantitative characterization of the Mokobodzki condition for two adapted càdlàg barriers on an arbitrary filtered probability space. For every , we introduc…
Mean-Field Doubly Reflected Forward-Backward SDEs with Optional Barriers and -Data
Erhan Bayraktar, Maurycy Rzymowski
We study mean-field doubly reflected forward-backward stochastic differential equations with two optional barriers satisfying a strong Mokobodzki condition. For -data, $p\in(1…
Mokobodzki's intervals: an approach to Dynkin games when value process is not a semimartingale
Tomasz Klimsiak, Maurycy Rzymowski
We study Dynkin games governed by a nonlinear -expectation on a finite interval , with payoff càdlàg processes of class (D) which are not imposed to satis…
A priori estimates for multidimensional BSDEs with integrable data
Tomasz Klimsiak, Maurycy Rzymowski
We study Backward Stochastic Differential Equations on a probability space equipped with a Brownian filtration. We assume that the terminal value and the generator at zero are mere…
Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games
Tomasz Klimsiak, Maurycy Rzymowski
We study reflected backward stochastic differential equation (RBSDEs) on the probability space equipped with a Brownian motion. The main novelty of the paper lies in fact that we c…
Nonlinear BSDEs in general filtration with drivers depending on the martingale part of a solution
Tomasz Klimsiak, Maurycy Rzymowski
In the present paper, we consider multidimensional nonlinear backward stochastic differential equations (BSDEs) with a driver depending on the martingale part of a solution. We…
Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
Tomasz Klimsiak, Maurycy Rzymowski
We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only…
Reflected backward stochastic differential equations with two optional barriers
Tomasz Klimsiak, Maurycy Rzymowski, Leszek Słomiński
We consider reflected backward stochastic differential equations with two general optional barriers. The solutions to these equations have the so-called regulated trajectories, i.e…
Reflected BSDEs with regulated trajectories
Tomasz Klimsiak, Maurycy Rzymowski, Leszek Słomiński
We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e trajectories with left and right finite limits. We pro…