Dylan Possamaï, Marco Rodrigues
Published 2023-06-26Version 1
We consider backward stochastic differential equations (BSDEs) and reflected BSDEs in the generality that should in principle allow for a unified study of certain discrete-time and continuous-time control problems. We provide well-posedness results for the BSDEs and reflected BSDEs with optional obstacle process in case of appropriately weighted $\mathbb{L}^2$-data. We compare our well-posedness results with the current literature and point out that our well-posedness result for the BSDE is sharp within the framework presented here. Finally, we provide sufficient conditions for a comparison principle.
Stability of backward stochastic differential equations: the general case
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Backward Stochastic Differential Equations with Continuous Coefficients in a Markov Chain Model and with Applications to European Options
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