Second order reflected backward stochastic differential equations

DOI10.1214/12-AAP906zbMath1303.60049arXiv1201.0746OpenAlexW3105429384MaRDI QIDQ389069

Anis Matoussi, Chao Zhou, Dylan Possamaï

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.0746

zbMATH Keywords

American optionssecond-order reflected backwardstochstic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections, Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs, Second-order BSDEs with general reflection and game options under uncertainty, Quadratic BSDEs with mean reflection driven by G-brownian motion, Dynamic programming approach to reflected backward stochastic differential equations, Wellposedness of second order reflected BSDEs: A new formulation, Representation of solutions to 2BSDEs in an extended monotonicity setting, Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle, Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty, Stochastic control for a class of nonlinear kernels and applications, Reflected quadratic BSDEs driven by \(G\)-Brownian motions, Reflected BSDEs with nonpositive jumps, and controller-and-stopper games, A new existence result for second-order BSDEs with quadratic growth and their applications, Optimal stopping under adverse nonlinear expectation and related games, Optimal Stopping Under Uncertainty in Drift and Jump Intensity, Arbitrage and duality in nondominated discrete-time models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal stopping under nonlinear expectation
• Financial markets with volatility uncertainty
• Pathwise construction of stochastic integrals
• Wellposedness of second order backward SDEs
• Optimal stopping for non-linear expectations. I
• Optimal stopping for non-linear expectations. II
• Adapted solution of a backward stochastic differential equation
• A probabilistic numerical method for fully nonlinear parabolic PDEs
• Martingale approach to stochastic differential games of control and stopping
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Control and stopping of a diffusion process on an interval
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Conjugate convex functions in optimal stochastic control
• The controller-and-stopper game for a linear diffusion.
• On pathwise stochastic integration
• Optimal stopping for dynamic convex risk measures
• Dual formulation of second order target problems
• A general downcrossing inequality for \(g\)-martingales
• Second order backward stochastic differential equations with quadratic growth
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• On the Multidimensional Controller-and-Stopper Games
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
• Reflected BSDE's with discontinuous barrier and application
• L^p-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS