Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle (Q6062261): Difference between revisions

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scientific article; zbMATH DE number 7772700

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English	Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle	scientific article; zbMATH DE number 7772700

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instance of

scholarly article

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title

Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle (English)

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Random Operators and Stochastic Equations

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publication date

30 November 2023

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full work available at URL

https://arxiv.org/abs/2310.00190

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zbMATH Keywords

reflected BSDE

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multivariate point process

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mertens decomposition

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right upper-semicontinuous obstacle

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MaRDI profile type

MaRDI publication profile

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cites work

Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale

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Reflected BSDEs when the obstacle is not right-continuous in a general filtration

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Reflected BSDEs with optional barrier in a general filtration

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Backward stochastic differential equations and integral-partial differential equations

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Q4086511

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Q3915688

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Q3925594

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BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.

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

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Backward Stochastic Differential Equations in Finance

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Q4357646

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Reflected backward stochastic differential equation with jumps and RCLL obstacle

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Optimal stopping of marked point processes and reflected backward stochastic differential equations

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OPTIONAL MARTINGALES

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Reflected BSDEs when the obstacle is not right-continuous and optimal stopping

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Optimal stopping with \(f\)-expectations: the irregular case

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Reflected BSDE's with discontinuous barrier and application

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Zero-sum stochastic differential games and backward equations

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Reflected backward stochastic differential equation with jumps and random obstacle

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Reflected Backward SDEs with General Jumps

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Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales

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Reflected BSDEs with regulated trajectories

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Optimal stopping time problem in a general framework

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Q3862800

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Q4153409

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A note on optional Snell envelopes and reflected backward SDEs

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BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient

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Predictable solution for reflected BSDEs when the obstacle is not right-continuous

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Irregular barrier reflected BSDEs driven by a Lévy process

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An essay on the general theory of stochastic processes

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Q4029028

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Adapted solution of a backward stochastic differential equation

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Identifiers

zbMATH Open document ID

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10.1515/rose-2023-2019

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6062261

@@ Property / cites work @@
+Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale
+Normal rank
@@ Property / cites work @@
+Reflected BSDEs when the obstacle is not right-continuous in a general filtration
+Normal rank
@@ Property / cites work @@
+Reflected BSDEs with optional barrier in a general filtration
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Q4086511
@@ Property / cites work: Q4086511 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3915688
@@ Property / cites work: Q3915688 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3925594
@@ Property / cites work: Q3925594 / rank @@
+Normal rank
@@ Property / cites work @@
+BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
+Normal rank
@@ Property / cites work @@
+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Q4357646
@@ Property / cites work: Q4357646 / rank @@
+Normal rank
@@ Property / cites work @@
+Reflected backward stochastic differential equation with jumps and RCLL obstacle
+Normal rank
@@ Property / cites work @@
+Optimal stopping of marked point processes and reflected backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+OPTIONAL MARTINGALES
@@ Property / cites work: OPTIONAL MARTINGALES / rank @@
+Normal rank
@@ Property / cites work @@
+Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
+Normal rank
@@ Property / cites work @@
+Optimal stopping with \(f\)-expectations: the irregular case
+Normal rank
@@ Property / cites work @@
+Reflected BSDE's with discontinuous barrier and application
+Normal rank
@@ Property / cites work @@
+Zero-sum stochastic differential games and backward equations
+Normal rank
@@ Property / cites work @@
+Reflected backward stochastic differential equation with jumps and random obstacle
+Normal rank
@@ Property / cites work @@
+Reflected Backward SDEs with General Jumps
@@ Property / cites work: Reflected Backward SDEs with General Jumps / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
+Normal rank
@@ Property / cites work @@
+Reflected BSDEs with regulated trajectories
@@ Property / cites work: Reflected BSDEs with regulated trajectories / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal stopping time problem in a general framework
+Normal rank
@@ Property / cites work @@
+Q3862800
@@ Property / cites work: Q3862800 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4153409
@@ Property / cites work: Q4153409 / rank @@
+Normal rank
@@ Property / cites work @@
+A note on optional Snell envelopes and reflected backward SDEs
+Normal rank
@@ Property / cites work @@
+BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient
+Normal rank
@@ Property / cites work @@
+Predictable solution for reflected BSDEs when the obstacle is not right-continuous
+Normal rank
@@ Property / cites work @@
+Irregular barrier reflected BSDEs driven by a Lévy process
+Normal rank
@@ Property / cites work @@
+An essay on the general theory of stochastic processes
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank