Backward stochastic differential equations with central value reflection

DOI10.3934/PUQR.2025013MaRDI QIDQ7318750zbMATH OpenFDO

Authors Youssef Ouknine

Publication date 25 August 2026

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/PUQR.2025013

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites work

• A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• BSDEs with mean reflection
• BSDEs with weak terminal condition
• Continuous exponential martingales and BMO
• scientific article; zbMATH DE number 3662295 (Why is no real title available?)
• Mean reflected BSDE driven by a marked point process and application in insurance risk management
• Mean reflected stochastic differential equations with jumps
• Particles systems and numerical schemes for mean reflected stochastic differential equations
• Particles systems for mean reflected BSDEs
• Quadratic BSDEs with jumps: a fixed-point approach
• Quadratic BSDEs with mean reflection
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator

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