Wellposedness of second order reflected BSDEs: A new formulation
From MaRDI portal
Publication:6198002
DOI10.1051/PS/2023019OpenAlexW4389934719MaRDI QIDQ6198002
Kon-Gun Kim, Mun-Chol Kim, Hun O
Publication date: 20 February 2024
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/ps/2023019
reflected backward stochastic differential equationsecond order backward stochastic differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Some norm estimates for semimartingales
- Second order reflected backward stochastic differential equations
- Second-order BSDEs with general reflection and game options under uncertainty
- Pathwise construction of stochastic integrals
- Wellposedness of second order backward SDEs
- Adapted solution of a backward stochastic differential equation
- Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
- Robust superhedging with jumps and diffusion
- Optimal stopping under adverse nonlinear expectation and related games
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Conjugate convex functions in optimal stochastic control
- A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
- Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- Stochastic control for a class of nonlinear kernels and applications
- On pathwise stochastic integration
- Representation of solutions to 2BSDEs in an extended monotonicity setting
- Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
- Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Constructing sublinear expectations on path space
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections
- Backward Stochastic Differential Equations in Finance
- Reflected BSDE's with discontinuous barrier and application
Related Items (1)
This page was built for publication: Wellposedness of second order reflected BSDEs: A new formulation
