Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison (Q957529): Difference between revisions

The authors present conditions which guarantee the existence and uniqueness of solutions to a reflected BSDE and to a doubly reflected BSDE. Bound and error estimates as well as comparison results are also derived.

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zbMATH Keywords

reflected BSDEs

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jumps

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a priori estimates

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comparison theorem

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Markovian BSDEs

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finance

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convertible bonds

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reviewed by

Aleksandra Rodkina

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MaRDI profile type

MaRDI publication profile

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cites work

Stochastic Integration with Jumps

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Backward stochastic differential equations and integral-partial differential equations

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Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging

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Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes

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PDE approach to valuation and hedging of credit derivatives

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Defaultable game options in a hazard process model

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DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK

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Convertible Bonds in a Defaultable Diffusion Model

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Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison

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About the Pricing Equations in Finance

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Backward stochastic differential equations with reflection and Dynkin games

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Backwards SDE with random terminal time and applications to semilinear elliptic PDE

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Q3915688

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

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Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps

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Q3721531

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Mixed Zero-Sum Stochastic Differential Game and American Game Options

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Reflected backward stochastic differential equation with jumps and random obstacle

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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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Q4357508

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Calcul stochastique et problèmes de martingales

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Q4778955

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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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Q3979063

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Weak convergence of financial markets.

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Q4435813

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Backward stochastic differential equations with jumps and related nonlinear expectations

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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Identifiers

zbMATH Open document ID

1158.60021

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DOI

10.1214/08-AAP517

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:957529

@@ Property / cites work @@
+Stochastic Integration with Jumps
@@ Property / cites work: Stochastic Integration with Jumps / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
+Normal rank
@@ Property / cites work @@
+PDE approach to valuation and hedging of credit derivatives
+Normal rank
@@ Property / cites work @@
+Defaultable game options in a hazard process model
+Normal rank
@@ Property / cites work @@
+DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
+Normal rank
@@ Property / cites work @@
+Convertible Bonds in a Defaultable Diffusion Model
+Normal rank
@@ Property / cites work @@
+Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
+Normal rank
@@ Property / cites work @@
+About the Pricing Equations in Finance
@@ Property / cites work: About the Pricing Equations in Finance / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with reflection and Dynkin games
+Normal rank
@@ Property / cites work @@
+Backwards SDE with random terminal time and applications to semilinear elliptic PDE
+Normal rank
@@ Property / cites work @@
+Q3915688
@@ Property / cites work: Q3915688 / rank @@
+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 Equation with Two Reflecting Barriers and Jumps
+Normal rank
@@ Property / cites work @@
+Q3721531
@@ Property / cites work: Q3721531 / rank @@
+Normal rank
@@ Property / cites work @@
+Mixed Zero-Sum Stochastic Differential Game and American Game Options
+Normal rank
@@ Property / cites work @@
+Reflected backward stochastic differential equation with jumps and random obstacle
+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 @@
+Q4357508
@@ Property / cites work: Q4357508 / rank @@
+Normal rank
@@ Property / cites work @@
+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / 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 @@
+Q3979063
@@ Property / cites work: Q3979063 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak convergence of financial markets.
@@ Property / cites work: Weak convergence of financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / OpenAlex ID @@
+W3106188022
@@ Property / OpenAlex ID: W3106188022 / rank @@
+Normal rank