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Reflected backward stochastic differential equations with rough drivers

Authors :
Li, Hanwu
Zhang, Huilin
Zhang, Kuan
Publication Year :
2024

Abstract

In this paper, we study reflected backward stochastic differential equations driven by rough paths (rough RBSDEs), which can be understood as a probabilistic representation of nonlinear rough partial differential equations (rough PDEs) or stochastic partial differential equations (SPDEs) with obstacles. The well-posedness in the sense of \cite{DF} is proved via a variant of Doss-Sussman transformation. Moreover, we show that our rough RBSDEs can be approximated by a sequence of penalized BSDEs with rough drivers. As applications, firstly we provide the equivalence between rough RBSDEs and the obstacle problem of rough PDEs. Secondly, we show the solution of rough RBSDE solves the corresponding optimal stopping problem.

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2407.17898
Document Type :
Working Paper