Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process (Q2239787)

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English	Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process	scientific article

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scholarly article

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Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process (English)

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Mohamed El Otmani

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Random Operators and Stochastic Equations

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publication date

5 November 2021

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zbMATH Keywords

generalized BSDEs

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Lévy process

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Teugels martingales

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1515/rose-2021-2060

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BSDE associated with Lévy processes and application to PDIE

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Conjugate convex functions in optimal stochastic control

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Backward stochastic differential equations with reflection and Dynkin games

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BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.

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

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Backward Stochastic Differential Equations in Finance

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Generalized BSDE driven by a Lévy process

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Reflected BSDE driven by a Lévy process

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Generalized BSDE with two reflecting barriers

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Mixed Zero-Sum Stochastic Differential Game and American Game Options

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BSDEs with two reflecting barriers: the general result

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Zero-sum stochastic differential games and backward equations

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Double barrier reflected BSDEs with stochastic Lipschitz coefficient

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Chaotic and predictable representations for Lévy processes.

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Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

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Adapted solution of a backward stochastic differential equation

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Generalized BSDEs and nonlinear Neumann boundary value problems

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition

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Doubly reflected BSDEs driven by a Lévy process

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Reflected backward stochastic differential equations driven by Lévy processes

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Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition

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Reflected backward SDEs with two barriers under monotonicity and general increasing conditions

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1515/ROSE-2021-2060

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Sitelinks

Mathematics(1 entry)

mardi Publication:2239787

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