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Contributions to second order reflected backward stochastic differentials equations

Abstract : This thesis deals with the second-order reflected backward stochastic differential equations (2RBSDEs) in general filtration. In the first part , we consider the reflection with a lower obstacle and then extended the result in the case of an upper obstacle . Our main contribution consists in demonstrating the existence and the uniqueness of the solution of these equations defined in the general filtration under weak assumptions. We replace the uniform regularity by the Borel regularity(through analytic measurability). The dynamic programming principle for the robust stochastic control problem is thus demonstrated under weak assumptions, that is to say without regularity on the generator, the terminal condition and the obstacle. In the standard Backward Stochastic Differential Equations (BSDEs) framework, there is a symmetry between lower and upper obstacles reflection problem. On the contrary, in the context of second order BSDEs, this symmetry is no longer satisfy because of the nonlinearity of the expectation under which our robust stochastic non-dominated stochastic control problem is defined. In the second part , we get a numerical approximation scheme of a class of second-order reflected BSDEs. In particular we show the convergence of our scheme and we test numerically the results.
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Submitted on : Thursday, May 17, 2018 - 12:04:05 PM
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  • HAL Id : tel-01794144, version 1


Fanny Larissa Noubiagain Chomchie. Contributions to second order reflected backward stochastic differentials equations. General Mathematics [math.GM]. Université du Maine, 2017. English. ⟨NNT : 2017LEMA1016⟩. ⟨tel-01794144⟩



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