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BSDEs with two reflecting barriers : the general result
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  • Published: 27 December 2004

BSDEs with two reflecting barriers : the general result

  • S. Hamadène1 &
  • M. Hassani1 

Probability Theory and Related Fields volume 132, pages 237–264 (2005)Cite this article

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  • 59 Citations

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Abstract.

In this paper we show the existence of a solution for the BSDE with two reflecting barriers when those latter are completely separated. Neither Mokobodzki’s condition nor the regularity of the barriers are supposed. The main tool is the notion of local solution of reflected BSDEs. Applications related to Dynkin games and double obstacle variational inequality are given.

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Authors and Affiliations

  1. Laboratoire de Statistique et Processus, Université du Maine, 72085, Le Mans Cedex 9, France

    S. Hamadène & M. Hassani

Authors
  1. S. Hamadène
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  2. M. Hassani
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Corresponding author

Correspondence to S. Hamadène.

Additional information

Mathematics Subject Classification (2000): 91A15, 60G40, 91A60

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Cite this article

Hamadène, S., Hassani, M. BSDEs with two reflecting barriers : the general result. Probab. Theory Relat. Fields 132, 237–264 (2005). https://doi.org/10.1007/s00440-004-0395-2

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  • Received: 10 May 2004

  • Revised: 23 September 2004

  • Published: 27 December 2004

  • Issue Date: June 2005

  • DOI: https://doi.org/10.1007/s00440-004-0395-2

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Keywords

  • Backward stochastic differential equation
  • Reflecting barriers
  • Variational inequality
  • Dynkin games
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