Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis (Q616310): Difference between revisions

Local existence and uniqueness results are provided for backward stochastic differential equations with two reflecting barriers that are right continuous with left limits (rcll), under conditions more general than before. These are strengthened to global existence and uniqueness when the barriers are completely separated.

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Mathematics Subject Classification ID

60H10

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backward stochastic differential equations

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reflecting barriers

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.bulsci.2010.03.001

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OpenAlex ID

W2003546599

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cites work

Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient

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Defaultable game options in a hazard process model

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Backward stochastic differential equations with reflection and Dynkin games

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Q4086511

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Reflected solutions of backward SDE's, and related obstacle problems for PDE's

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Reflected BSDE's with discontinuous barrier and application

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Mixed Zero-Sum Stochastic Differential Game and American Game Options

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BSDEs with two reflecting barriers: the general result

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BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game

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Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator

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On the Starting and Stopping Problem: Application in Reversible Investments

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Reflected BSDEs and mixed game problem

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Q4357505

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Reflected backward stochastic differential equation with jumps and random obstacle

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Q4002114

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Game options

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Backward SDEs with two barriers and continuous coefficient: an existence result

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Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier

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Reflected backward stochastic differential equations with two RCLL barriers

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The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles

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Q4226355

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Valuation of power plants by utility indifference and numerical computation

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Sitelinks

Mathematics(1 entry)

mardi Publication:616310

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+W2003546599
@@ Property / OpenAlex ID: W2003546599 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
+Normal rank
@@ Property / cites work @@
+Defaultable game options in a hazard process model
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with reflection and Dynkin games
+Normal rank
@@ Property / cites work @@
+Q4086511
@@ Property / cites work: Q4086511 / rank @@
+Normal rank
@@ Property / cites work @@
+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
+Normal rank
@@ Property / cites work @@
+Reflected BSDE's with discontinuous barrier and application
+Normal rank
@@ Property / cites work @@
+Mixed Zero-Sum Stochastic Differential Game and American Game Options
+Normal rank
@@ Property / cites work @@
+BSDEs with two reflecting barriers: the general result
+Normal rank
@@ Property / cites work @@
+BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
+Normal rank
@@ Property / cites work @@
+On the Starting and Stopping Problem: Application in Reversible Investments
+Normal rank
@@ Property / cites work @@
+Reflected BSDEs and mixed game problem
@@ Property / cites work: Reflected BSDEs and mixed game problem / rank @@
+Normal rank
@@ Property / cites work @@
+Q4357505
@@ Property / cites work: Q4357505 / rank @@
+Normal rank
@@ Property / cites work @@
+Reflected backward stochastic differential equation with jumps and random obstacle
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Game options
@@ Property / cites work: Game options / rank @@
+Normal rank
@@ Property / cites work @@
+Backward SDEs with two barriers and continuous coefficient: an existence result
+Normal rank
@@ Property / cites work @@
+Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
+Normal rank
@@ Property / cites work @@
+Reflected backward stochastic differential equations with two RCLL barriers
+Normal rank
@@ Property / cites work @@
+The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation of power plants by utility indifference and numerical computation
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:616310