Reflected BSDE with a constraint and its applications in an incomplete market

DOI10.3150/09-BEJ227zbMath1284.60120OpenAlexW2003941024MaRDI QIDQ637071

Mingyu Xu, Shige Peng

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/09-bej227

zbMATH Keywords

reflected backward stochastic differential equationbackward stochastic differential equation with a constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Related Items (20)

A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations ⋮ Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type ⋮ The adapted solutions and comparison theorem for anticipated backward stochastic differential equations with Poisson jumps under the weak conditions ⋮ BSDEs with monotone generator and two irregular reflecting barriers ⋮ General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales ⋮ A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times ⋮ Multi-dimensional BSDEs with mean reflection ⋮ Backward doubly-stochastic differential equations with mean reflection ⋮ Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ On Z-mean reflected BSDEs ⋮ Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers ⋮ Lp - estimates of solutions of backward doubly stochastic differential equations ⋮ BSDEs with mean reflection ⋮ Quadratic BSDEs with mean reflection ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions ⋮ BSDEs with mean reflection driven by \(G\)-Brownian motion ⋮ Stochastic Control Representations for Penalized Backward Stochastic Differential Equations ⋮ Continuous dependence property of BSDE with constraints ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients

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