Reflected BSDE driven by a Lévy process (Q842401)

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Language	Label	Description	Also known as
English	Reflected BSDE driven by a Lévy process	scientific article

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scholarly article

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Reflected BSDE driven by a Lévy process (English)

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zbMATH Open document ID

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10.1007/s10959-009-0229-3

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Mohamed El Otmani

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Journal of Theoretical Probability

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publication date

25 September 2009

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10959-009-0229-3

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BSDE associated with Lévy processes and application to PDIE

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Backward stochastic differential equations and integral-partial differential equations

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Financial Modelling with Jump Processes

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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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Reflected backward stochastic differential equation with jumps and RCLL obstacle

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Reflected BSDE's with discontinuous barrier and application

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Zero-sum stochastic differential games and backward equations

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Reflected BSDEs and mixed game problem

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Reflected backward stochastic differential equation with jumps and random obstacle

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Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier

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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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Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type

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The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles

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Backward stochastic differential equations with jumps and related nonlinear expectations

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Mathematics(1 entry)

mardi Publication:842401

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