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June 2021 Corrigendum for “Second-order reflected backward stochastic differential equations” and “Second-order BSDEs with general reflection and game options under uncertainty”
Anis Matoussi, Dylan Possamaï, Chao Zhou
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Ann. Appl. Probab. 31(3): 1505-1522 (June 2021). DOI: 10.1214/20-AAP1622

Abstract

The aim of this short note is to fill in a gap in our earlier paper (Ann. Appl. Probab. 23 (2013) 2420–2457) on 2BSDEs with reflections, and to explain how to correct the subsequent results in the second paper (Stochastic Process. Appl. 124 (2014) 2281–2321). We also provide more insight on the properties of 2RBSDEs, in the light of the recent contributions (Li and Peng (2017); Soumana Hima (2017)) in the so-called G-framework.

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Anis Matoussi. Dylan Possamaï. Chao Zhou. "Corrigendum for “Second-order reflected backward stochastic differential equations” and “Second-order BSDEs with general reflection and game options under uncertainty”." Ann. Appl. Probab. 31 (3) 1505 - 1522, June 2021. https://doi.org/10.1214/20-AAP1622

Information

Received: 1 July 2017; Revised: 1 August 2020; Published: June 2021
First available in Project Euclid: 23 June 2021

Digital Object Identifier: 10.1214/20-AAP1622

Subjects:
Primary: 60H10
Secondary: 60H30

Keywords: 2BSDEs , reflections , Skorokhod condition

Rights: Copyright © 2021 Institute of Mathematical Statistics

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Vol.31 • No. 3 • June 2021
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