Reflected backward stochastic differential equations with two optional barriers

Tomasz Klimsiak, Maurycy Rzymowski, Leszek Słomiński

Published 2018-10-18Version 1

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 trajectories with left and right finite limits. We prove the existence and uniqueness of $\mathbb L^p$ solutions, $p\geq 1$, and show that the solutions may be approximated by a modified penalization method.