A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations

被引：22

作者：

Bouchard, Bruno ^{[1
]}

Possamai, Dylan ^{[1
]}

Tan, Xiaolu ^{[1
]}

Zhou, Chao ^{[2
]}

机构：

[1] Univ Paris 09, PSL Res Univ, CNRS, UMR 7534,Ceremade, F-75016 Paris, France

[2] Natl Univ Singapore, Dept Math, Singapore, Singapore

来源：

ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 2018年 / 54卷 / 01期

关键词：

Backward SDE; Supersolution; Doob-Meyer decomposition; Reflected backward SDE; STOCHASTIC DIFFERENTIAL-EQUATIONS; REFLECTED BSDE;

D O I：

10.1214/16-AIHP798

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We provide a unified approach to a priori estimates for supersolutions of BSDEs in general filtrations, which may not be quasi left-continuous. Unlike the previous related approaches in simpler settings, our results do not only rely on a simple application of Ito's formula and classical estimates, but use crucially appropriate generalizations of deep estimates for supermartingales obtained by Meyer. As an example of application, we prove that reflected BSDEs are well-posed in a general framework which has not been covered so far in the existing literature.

引用

页码：154 / 172

页数：19

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