BSDEs driven by normal martingale

DOI10.1080/00036811.2020.1783535MaRDI QIDQ5071309zbMATH OpenOpenAlexFDO

Authors Mohamed El Otmani, Mohamed Marzougue

Publication date 21 April 2022

Published in Applicable Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00036811.2020.1783535

zbMATH Keywords

backward stochastic differential equationnormal martingalestochastic Lipschitz coefficientviscosity solution

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(10)

• Martingale driven BSDEs, PDEs and other related deterministic problems
• Non-linear Dynkin games over split stopping times
• Predictable solution for reflected BSDEs when the obstacle is not right-continuous
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• BSDENMs: enlargement of filtration and insider trading
• Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process
• PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS
• Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution
• Contributions to American game options and PDEs in the context of doubly reflected BSDEs driven by normal martingales
• Applications of doubly reflected BSDEs driven by RCLL martingales to Dynkin games and American game options

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