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Corrigendum for "Second-order reflected backward stochastic differential equations" and "Second-order BSDEs with general reflection and game options under uncertainty"

Matoussi, Anis; Possamaï, Dylan; Zhou, Chao (2021), Corrigendum for "Second-order reflected backward stochastic differential equations" and "Second-order BSDEs with general reflection and game options under uncertainty", Annals of Applied Probability, 31, 3, p. 1505-1522. 10.1214/20-AAP1622

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Type
Article accepté pour publication ou publié
Date
2021
Journal name
Annals of Applied Probability
Volume
31
Number
3
Publisher
Institute of Mathematical Statistics
Pages
1505-1522
Publication identifier
Metadata
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Author(s)
Matoussi, Anis
Laboratoire Manceau de Mathématiques [LMM]
Possamaï, Dylan cc
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Zhou, Chao
Department of Mathematics [Singapore]
Abstract (EN)
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.
Subjects / Keywords
2BSDEs; reflections; Skorokhod condition