Second Order Reflected Backward Stochastic Differential Equations

Details Second Order Reflected Backward Stochastic Differential Equations Second Order Reflected Backward Stochastic Differential Equations

2012-01-03

arxiv.org/abs/1201.0746v1

Mathematics

Probability

38 pages

Scientific paper

In this article, we study a class of reflected second order backward stochastic differential equations with a given lower c\`adl\`ag obstacle. We prove existence and uniqueness of the solution under a Lipschitz type assumption on the generator, and we investigate some links between our reflected 2BSDEs and non-classical optimal stopping problems. Finally, we show that reflected 2BSDEs provide a super-hedging price for American options in a market with volatility uncertainty.

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