We prove the existence of maximal (and minimal) solution for one-dimensional generalized doubly reflected backward stochastic differential equation (RBSDE for short) with irregular barriers and stochastic quadratic growth, for which the solution $Y$ has to remain between two rcll barriers $L$ and $U$ on $[0; T[$, and its left limit $Y_-$ has to stay respectively above and below two predictable barriers $l$ and $u$ on $]0; T]$. This is done without assuming any $P$-integrability conditions and under weaker assumptions on the input data. In particular, we construct a maximal solution for such a RBSDE when the terminal condition $ξ$ is only ${\cal F}_T-$measurable and the driver $f$ is continuous with general growth with respect to the variable $y$ and stochastic quadratic growth with respect to the variable $z$. Our result is based on a (generalized) penalization method. This method allow us find an equivalent form to our original RBSDE where its solution has to remain between two new rcll reflecting barriers $\overline{Y}$ and $\underline{Y}$ which are, roughly speaking, the limit of the penalizing equations driven by the dominating conditions assumed on the coefficients. A standard and equivalent form to our initial RBSDE as well as a characterization of the solution $Y$ as a generalized Snell envelope of some given predictable process $l$ are also given.
In the first part of this paper, we study RBSDEs in the case where the filtration is not quasi-left continuous and the lower obstacle is given by a predictable process. We prove the existence and uniqueness by using some results of optimal stopping theory in the predictable setting, some tools from the general theory of processes as the Merten's decomposition of predictable strong supermartingale. In the second part we introduce an optimal stopping problem indexed by predictable stopping times with the non linear predictable $g$ expectation induced by an appropriate BSDE. We establish some use…
We establish several existence, uniqueness and comparison results for $L^1$ solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under the assumption that the generator $g$ satisfies a one-sided Osgood condition together with a very general growth condition in $y$, a uniform continuity condition and/or a sub-linear growth condition in $z$, and a generalized Mokobodzki condition which relates the growth of $g$ and that of the barriers. This generalized Mokobodzki condition is proved to be necessary for existence of $L^1$ solutions of the reflected BSDEs. We …
In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general filtration that is essentially non quasi-left continuous, where the barriers are assumed to be predictable processes. We call these equations predictable DRBSDEs. Under a general type of Mokobodzki's condition, we show the existence of the solution (in consideration of the driver's nature) through a Picard iteration method and a Banach fixed point theorem. By using an appropriate generalization of Itô's formula due to…
In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected G-BSDE for short) with an upper obstacle. The existence is proved by approximation via penalization. By using a variant comparison theorem, we show that the solution we constructed is the largest one.
In this paper, we study the reflected BSDE with one continuous barrier, under the monotonicity and general increasing condition on $y$ and non Lipschitz condition on $z$. We prove the existence and uniqueness of the solution to these equation by approximation method.
In this paper, we continue in solving reflected generalized backward stochastic differential equations (RGBSDE for short) and fixed terminal time with use some new technical aspects of the stochastic calculus related to the reflected generalized BSDE. Here, existence and uniqueness of solution is proved under a non-Lipschitz condition on the coefficients.
In this paper, we study multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators. Using the comparison theorem for diagonally quadratic BSDEs which is established recently in [14], we obtain the existence and uniqueness of a solution by a penalization method. Moreover, we provide a comparison theorem.
In this paper, we deal with a class of one-dimensional reflected backward stochastic differential equations with stochastic Lipschitz coefficient. We derive the existence and uniqueness of the solutions for those equations via Snell envelope and the fixed point theorem.
In this paper, we consider a reflected backward stochastic differential equation driven by a $G$-Brownian motion ($G$-BSDE), with the generator growing quadratically in the second unknown. We obtain the existence by the penalty method, and a priori estimates which implies the uniqueness, for solutions of the $G$-BSDE. Moreover, focusing our discussion at the Markovian setting, we give a nonlinear Feynman-Kac formula for solutions of a fully nonlinear partial differential equation.
We give necessary and sufficient condition for existence and uniqueness of $\mathbb{L}^{p}$-solutions of reflected BSDEs with continuous barrier, generator monotone with respect to $y$ and Lipschitz continuous with respect to $z$, and with data in $\mathbb{L}^{p}$, $p\ge 1$. We also prove that the solutions may be approximated by the penalization method.
A note on convergence rate for reflected BSDEs with quadratic generators by penalization method
Zhongtai Securities Institute for Financial Studies, Shandong University（山东大学中泰证券金融研究院）；School of Mathematical Sciences, Shanghai Jiao Tong University（上海交通大学数学科学学院）
In this paper we study multi-dimensional reflected backward stochastic differential equations driven by Wiener-Poisson type processes. We prove existence and uniqueness of solutions, with reflection in the inward spatial normal direction, in the setting of certain time-dependent domains.
In this paper, we consider the reflected backward stochastic differential equations driven by G-Brownian motion (reflected G-BSDEs) whose coefficients satisfy the beta-order Mao's condition. The uniqueness is obtained by some a priori estimates and the existence can be proved by two different methods. The first one is Picard iteration and the second one is approximation via penalization. The latter construction is useful to get the comparison theorem.
Under a generalized Mokobodzki condition for reflected BSDEs with two continuous barriers which relates the growth of the generator $g$ and that of the barriers, we establish several existence and uniqueness results on $L^p\ (p>1)$ solutions of doubly reflected BSDEs with generators satisfying a one-sided Osgood condition together with a general growth in the state variable $y$, and a uniform continuity condition or a linear growth condition in the state variable $z$. This Mokobodzki condition is also proved to be necessary for existence of the $L^p$ solutions. And, we prove that the $L^p$ sol…
In this paper, we establish a local representation theorem for generators of reflected backward stochastic differential equations (RBSDE), whose generators are continuous with linear growth. It generalizes some known representation theorems for generators of backward stochastic differential equations (BSDE). As some applications, a general converse comparison theorem for RBSDE is obtained and some properties of RBSDE are discussed.
The present paper is devoted to the study of backward stochastic differential equations with mean reflection formulated by Briand et al. [7]. We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on the distribution of the solution term $Y$. Using a fixed-point argument, BMO martingale theory and the $θ$-method, we establish the existence and uniqueness result for such BSDEs in several typical situations, including the case where the driver is quadratic with bounded or unbounded terminal condition.
In this note we prove existence of a solution to a system of Markovian BSDEs with interconnected obstacles. A key feature of our system, and the main novelty of this paper, is that we allow for the driver $f_i$ of the $i$-th component of the $Y$-process to depend on all components of the $Z$-process. This extends the existing theory on reflected BSDEs, which only addresses problems where $f_i$ depends on $Z^i$.
We solve a class of doubly reflected backward stochastic differential equation whose generator depends on the resistance due to reflections, which extend the recent work of Qian and Xu on reflected BSDE with one barrier. We then obtain the existence and uniqueness and the continuous dependence theorem for this reflected BSDE.
We put forward and prove several existence and uniqueness results for $L^p\ (p>1)$ solutions of reflected BSDEs with continuous barriers and generators satisfying a one-sided Osgood condition together with a general growth condition in $y$ and a uniform continuity condition or a linear growth condition in $z$. A necessary and sufficient condition with respect to the growth of barrier is also explored to ensure the existence of a solution. And, we show that the solutions may be approximated by the penalization method and by some sequences of solutions of reflected BSDEs. Our results improve con…
In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion (RGBSDE for short). The reflection keeps the solution above a given stochastic process. In order to derive the uniqueness of reflected GBSDEs, we apply a "martingale condition" instead of the Skorohod condition. Similar to the classical case, we prove the existence by approximation via penalization.
We introduce and study a new class of optimal switching problems, namely switching problem with controlled randomisation, where some extra-randomness impacts the choice of switching modes and associated costs. We show that the optimal value of the switching problem is related to a new class of multidimensional obliquely reflected BSDEs. These BSDEs allow as well to construct an optimal strategy and thus to solve completely the initial problem. The other main contribution of our work is to prove new existence and uniqueness results for these obliquely reflected BSDEs. This is achieved by a care…
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 prove existence and uniqueness results. We also show that the solution may be approximated by a modified penalization method. Application to an optimal stopping problem is given.
It is now established that under quite general circumstances, including in models with jumps, the existence of a solution to a reflected BSDE is guaranteed under mild conditions, whereas the existence of a solution to a doubly reflected BSDE is essentially equivalent to the so-called Mokobodski condition. As for uniqueness of solutions, this holds under mild integrability conditions. However, for practical purposes, existence and uniqueness are not enough. In order to further develop these results in Markovian set-ups, one also needs a (simply or doubly) reflected BSDE to be well posed, in the…
This article deals with the starting and stopping problem under Knightian uncertainty, i.e., roughly speaking, when the probability under which the future evolves is not exactly known. We show that the lower price of a plant submitted to the decisions of starting and stopping is given by a solution of a system of two reflected backward stochastic differential equations (BSDEs for short). We solve this latter system and we give the expression of the optimal strategy. Further we consider a more general system of $m$ ($m\geq 2$) reflected BSDEs with interconnected obstacles. Once more we show exi…
In this paper we provide conditions for the existence of supersolutions to BSDEs with mean-reflections on the $Z$ component. We show that, contrary to BSDEs with mean-reflections on the $Y$ component, we cannot expect a supersolution with a deterministic increasing process $K$. Nonetheless, we give conditions for the existence of a supersolution for a stochastic component $K$ and under various constraints. We formalize some previous arguments on the time-inconsistency of such problems, proving that a minimal supersolution is necessarily a solution in our framework.
We prove existence and uniqueness of L^p solutions of reflected backward stochastic differential equations with p-integrable data and generators satisfying the monotonicity condition. We also show that the solution may be approximated by the penalization method. Our results are new even in the classical case p=2.
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). We first provide general existence, uniqueness and comparison theorems for RBSDEs with jumps in the case of a RCLL adapted obstacle. We then show that the value function of the optimal stopping problem is characterized as the solution of an RBSDE. The existence of an optimal stopping time is obtained when the obstacle is left-upper semi-continuous along stopping times. Finally, robust optimal stopping proble…
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 encompassing a wide spectrum of nonlinear financial models, including as particular cases the setups studied by Peng and Xu \cite{PX2009} and Dumitrescu et al. \cite{DGQS2018} who dealt with BSDEs driven by a one-dimensional Brownian motion and a purely discontinuous martingale with a single jump. Our results are not covered by existing literature on reflected and doubly reflected BSDEs driven by a Brownian motion and a Po…
We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness. As for barriers we assume that there are càdlàg processes of class D that are completely separated. We prove the existence and uniqueness of solutions for integrable final condition and integrable monotone generator. An application to zero-sum Dynkin game is given.
We introduce a new class of reflected backward stochastic differential equations with two càdlàg barriers, which need not satisfy any separation conditions. For that reason, in general, the solutions are not semimartingales. We prove existence, uniqueness and approximation results for solutions of equations defined on general filtered probability spaces. Applications to Dynkin games and variational inequalities, both stationary and evolutionary, are given.
In this paper, we prove new convergence results improving the ones by Chassagneux, Elie and Kharroubi [Ann. Appl. Probab. 22 (2012) 971--1007] for the discrete-time approximation of multidimensional obliquely reflected BSDEs. These BSDEs, arising in the study of switching problems, were considered by Hu and Tang [Probab. Theory Related Fields 147 (2010) 89--121] and generalized by Hamadène and Zhang [Stochastic Process. Appl. 120 (2010) 403--426] and Chassagneux, Elie and Kharroubi [Electron. Commun. Probab. 16 (2011) 120--128]. Our main result is a rate of convergence obtained in the Lipschit…
This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.
In this paper, we aim to study solutions of reflected generalized BSDEs, involving the integral with respect to a continuous process, which is the local time of the diffusion on the boundary. We consider both a finite random terminal and a infinite horizon. In both case, we establish an existence and uniqueness result. Next, as an application, we get an American pricing option in infinite horizon and we give a probabilistic formula for the viscosity solution of an obstacle problem for elliptic PDEs with a nonlinear Neumann boundary condition.
We provide several characterizations to identify Strong envelop (for bounded measurable process) and Strong super-martingale (for non-negative right upper semi-continuous process of the class $\Dc$). As examples of application, we prove existence and uniqueness of reflected backward stochastic differential equation with lower barrier (RBSDB in short) in two cases: $i)$. the obstacle is a measurable bounded process; $ii)$. the obstacle is a right upper semicontinuous optional process of class $\Dc$.
In this paper, we deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of Briand, Chaudru de Raynal, Guillin and Labart on the chaos propagation for mean reflected SDEs to the backward framework. When the driver does not depend on z, we are able to treat general reflexions for the particles system. We consider linear reflexion when the driver depends also on z. In both cases, we get the rate of convergence of the particles system towar…
This paper establishes the well-posedness of reflected backward stochastic differential equations in the non-convex domains that satisfy a weaker version of the star-shaped property. The main results are established (i) in a Markovian framework with Hölder-continuous generator and terminal condition and (ii) in a general setting under a smallness assumption on the input data. We also investigate the connections between this well-posedness result and the theory of martingales on manifolds.
We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution is proved by a double penalization approach under regularity assumptions on the obstacle. In a suitable regime switching diffusion framework, we show the connection between our class of BSDEs and fully nonlinear variational inequalities. Our BSDE representation provides in particular a Feynman-Kac type formula for PDEs associated to general zero-sum stochastic differential controller-and-stopper games, where control affect both drift …
We prove existence and uniqueness of solutions of reflected backward stochastic differential equations in time-dependent adapted and càdlàg convex regions $\mathcal{D}=\{D_t;t\in[0,T]\}$. We also show that the solution may be approximated by solutions of backward equations with reflection in appropriately defined discretizations of $\mathcal{D}$ and by a modified penalization method. The approximation results are new even in the one-dimensional case.
In this paper, we study doubly reflected Backward Stochastic Differential Equations defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness in the case where the barriers L and U don't satisfy any regularity assumption (without right continuity). We suppose that the barriers L and U and their left limits are completely separated and we show existence and uniqueness of the solution.
We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only continuous and non-increasing. We assume that data are merely integrable and the terminal time is an arbitrary (possibly infinite) stopping time. We study the problem of existence and uniqueness of solutions, and their connections with the value process in nonlinear Dynkin games.
We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an independent compensated Poisson process. As in Dumitrescu-Labart (2014), we approximate the Brownian motion and the Poisson process by two random walks, but contrary to this paper, we discretize directly the DRBSDE, without using a penalization step. This gives us a fully implementable scheme, which only depends on one parameter of approximation: the number of time steps $n$ (contrary to the scheme proposed in Dumit…
In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to the reflected BSDE is above a prescribed boundary process in a minimal fashion and the generator and terminal value of the reflected BSDE depend on the solution of another stochastic differential equation (SDE in abbreviation) with rank-based drift and diffusion coefficients. We derive regularity properties of the solution to such reflected BSDE, and show that the solution at the initial starting time $t$ and positi…
We study the well-posedness of general reflected BSDEs driven by a continuous martingale, when the coefficient f of the driver has at most quadratic growth in the control variable Z, with a bounded terminal condition and a lower obstacle which is bounded above. We obtain the basic results in this setting : comparison and uniqueness, existence, stability. For the comparison theorem and the special comparison theorem for reflected BSDEs (which allows one to compare the increasing processes of two solutions), we give intrinsic proofs which do not rely on the comparison theorem for standard BSDEs.…
Generalized Reflected BSDEs with RCLL Random Obstacles in a General Filtration
Cadi Ayyad University（卡迪·阿亚德大学）；National School of Applied Sciences of Marrakech（马拉喀什国立应用科学学院）；Ibn Zohr University（伊本·佐哈尔大学）；Faculty of Sciences Agadir（阿加迪尔理学院）；Laboratory of Analysis and Applied Mathematics (LAMA)（分析与数学应用实验室）
In this paper, we analyze mean-field reflected backward stochastic differential equations when the driver has quadratic growth in the second unknown $z$. Using linearization technique and BMO martingale theory, we first apply fixed point argument to establish uniqueness and existence result for the case with bounded terminal condition and obstacle. Then, with the help of a $θ$-method, we develop a successive approximation procedure to remove the boundedness condition on the terminal condition and obstacle when the generator is concave (or convex) with respect to the 2nd unknown $z$
In this paper, we study the uniqueness of the solution of reflected BSDE with one or two barriers, under continuous and linear increasing condition of generator $g$. Before that we study the construction of solution of of reflected BSDE with one or two barriers.
We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different probability $\mathbb{P}^i$, which form a dominated family. To each strategy $\mathbf{a}$ of switching times and actions then corresponds a compensator and a probability $\mathbb{P}^\mathbf{a}$, and the reward is calculated under this probability. To solve this problem, we define and study a system of reflected BSDE where the obstacle for each equation depends on…
In this paper we prove the existence of a solution for reflected BSDE's\ whose coefficient is of quadratic growth in $z$ and of linear growth in $y$, with an unbounded terminal value.
In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining \emph{a priori} estimates for penalised equations and compactness arguments, we obtain existence results under quite weak assumptions on the driver of the BSDEs and the direction of reflection, which is allowed to depend on both $Y$ and $Z$. In a non Markovian framework, we obtain existence and uniqueness result for direction of reflection depending on time and $Y$. W…
In this paper, we study a type of reflected BSDE with a constraint and introduce a new kind of nonlinear expectation via BSDE with a constraint and prove the Doob-Meyer decomposition with respect to the super(sub)martingale introduced by this nonlinear expectation. We then apply the results to the pricing of American options in incomplete market.
