Second-order BSDEs with general reflection and game options under uncertainty (Q402477): Difference between revisions

@@ Property / DOI @@
-.1016/j.spa.2014.02.011
@@ Property / DOI: 10.1016/j.spa.2014.02.011 / rank @@
-Normal rank
@@ Property / author @@
-Dylan Possamaï
@@ Property / author: Dylan Possamaï / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2962967574
@@ Property / OpenAlex ID: W2962967574 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.0476
@@ Property / arXiv ID: 1212.0476 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic integration and \(L^ p-\)theory of semimartingales
+Normal rank
@@ Property / cites work @@
+Arbitrage pricing of defaultable game options with applications to convertible bonds
+Normal rank
@@ Property / cites work @@
+DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
+Normal rank
@@ Property / cites work @@
+A general downcrossing inequality for \(g\)-martingales
+Normal rank
@@ Property / cites work @@
+Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with reflection and Dynkin games
+Normal rank
@@ Property / cites work @@
+A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
+Normal rank
@@ Property / cites work @@
+Optimal stopping under nonlinear expectation
@@ Property / cites work: Optimal stopping under nonlinear expectation / rank @@
+Normal rank
@@ Property / cites work @@
+Q3613981
@@ Property / cites work: Q3613981 / rank @@
+Normal rank
@@ Property / cites work @@
+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
+Normal rank
@@ Property / cites work @@
+Q4356589
@@ Property / cites work: Q4356589 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Q4205251
@@ Property / cites work: Q4205251 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3344197
@@ Property / cites work: Q3344197 / rank @@
+Normal rank
@@ Property / cites work @@
+BSDEs with two reflecting barriers: the general result
+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 driven by a Brownian and a Poisson noise and related Dynkin game
+Normal rank
@@ Property / cites work @@
+Zero-sum stochastic differential games and backward equations
+Normal rank
@@ Property / cites work @@
+Backward equations, stochastic control and zero-sum stochastic differential games
+Normal rank
@@ Property / cites work @@
+Q4357505
@@ Property / cites work: Q4357505 / rank @@
+Normal rank
@@ Property / cites work @@
+L<sup>p</sup>-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
+Normal rank
@@ Property / cites work @@
+On pathwise stochastic integration
@@ Property / cites work: On pathwise stochastic integration / rank @@
+Normal rank
@@ Property / cites work @@
+Dynkin's games and Israeli options
@@ Property / cites work: Dynkin's games and Israeli options / rank @@
+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 @@
+Second order reflected backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+The obstacle problem for quasilinear stochastic PDE's
+Normal rank
@@ Property / cites work @@
+Pathwise construction of stochastic integrals
@@ Property / cites work: Pathwise construction of stochastic integrals / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal stopping under adverse nonlinear expectation and related games
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
+Normal rank
@@ Property / cites work @@
+The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
+Normal rank
@@ Property / cites work @@
+Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
+Normal rank
@@ Property / cites work @@
+Wellposedness of second order backward SDEs
@@ Property / cites work: Wellposedness of second order backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-sure stochastic analysis through aggregation
+Normal rank
@@ Property / cites work @@
+Q3862204
@@ Property / cites work: Q3862204 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.SPA.2014.02.011
@@ Property / DOI: 10.1016/J.SPA.2014.02.011 / rank @@
+Normal rank