OPTIONAL MARTINGALES

DOI10.1070/SM1981V040N04ABEH001838MaRDI QIDQ3925627zbMATH OpenOpenAlexFDO

Authors L. Galtchouk

Publication date 1981

Published in Mathematics of the USSR-Sbornik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/sm1981v040n04abeh001838

zbMATH Keywords

optional process

Mathematics Subject Classification ID

Sample path properties (60G17) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cited in

(23)

• Reflected BSDEs with optional barrier in a general filtration
• [[:Publication:1722018|Doubly reflected BSDEs and \(\mathcal{E} ^Template:F\)-Dynkin games: beyond the right-continuous case]]
• Doubly reflected backward stochastic differential equations in the predictable setting
• A note on optional Snell envelopes and reflected backward SDEs
• On reflected stochastic differential equations driven by regulated semimartingales
• Optimal stopping with f-expectations: the irregular case
• Reflected BSDEs with regulated trajectories
• On reflection with two-sided jumps
• Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
• Reflected backward doubly stochastic differential equations with discontinuous barrier
• Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle
• RBDSDEs with jumps and optional Barrier and mean field game with common noise
• Generalized BSDE and reflected BSDE with random time horizon
• Reflections on BSDEs
• Penalization schemes for BSDEs and reflected BSDEs with generalized driver
• Optional strong semimartingale inequalities for the strong Snell envelopes
• SDEs with two reflecting barriers driven by optional processes with regulated trajectories
• Optimal control over split stopping times in defaultable settings and reflected BSDEs with irregular obstacles
• Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by optional semimartingales
• The fundamental theorem of asset pricing under transaction costs
• Stochastic differential equations with respect to optional semimartingales and two reflecting regulated barriers
• Generalized reflected backward doubly SDEs with irregular barriers and continuous coefficients
• Backward stochastic differential equations driven by optional semimartingales with conditional reflecting and regulated barrier

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