Reflected BSDEs Driven by RCLL Martingales with Stochastic Lipschitz Coefficient in a General Filtration: Analysis and Applications
Abstract
In this paper, we investigate reflected backward stochastic differential equations with a single, discontinuous barrier, driven by a right-continuous, left-limited martingale within a general filtration. We establish the existence and uniqueness of solutions under a stochastic Lipschitz condition on the generator and a reflection process that is right-continuous with left limits. As an application, we use these results to determine fair pricing for American contingent claim options in a financial market driven by Azéma’s martingale, incorporating elements of asymmetric information.
Fields of Study & Subjects
Stochastic processes and financial applications
Probability and Risk Models
Credit Risk and Financial Regulations
Publication details
- Journal / source
- Communications in Mathematical Analysis and Applications
- Publisher
- Global Science Press
- Volume
- 5
- Issue
- 1
- Pages
- 115–153
- Publication date
- 25 February 2026