A unified approach to a priori estimates for supersolutions of BSDEs in general filtrationsReport as inadecuate




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1 CREST - Centre de Recherche en Économie et Statistique 2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision 3 LTDS - Laboratoire de Tribologie et Dynamique des Systèmes

Abstract : We provide a unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, which may not be quasi left-continuous.
As an example of application, we prove that reflected BSDEs are well-posed in a general framework.


Keywords : reflected backward SDE Backward SDE supersolution Doob-Meyer decomposition





Author: Bruno Bouchard - Dylan Possamaï - Xiaolu Tan - Chao Zhou -

Source: https://hal.archives-ouvertes.fr/



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