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

From MaRDI portal

Publication:1356364

Jump to:navigation, search

DOI10.1214/aop/1024404416zbMath0899.60047OpenAlexW2090929784WikidataQ101950241 ScholiaQ101950241MaRDI QIDQ1356364

Christophe Kapoudjian, Shige Peng, Marie-Claire Quenez, Nicole El Karoui, Etienne Pardoux

Publication date: 28 October 1998

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1024404416

zbMATH Keywords

backward stochastic differential equation obstacle problems for second order parabolic partial differential equations probabilistic representation of solution of second order parabolic partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (only showing first 100 items - show all)

A dynamic maximum principle for the optimization of recursive utilities under constraints. ⋮ Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations ⋮ Backward stochastic differential equations with mean reflection and two constraints ⋮ A partial introduction to financial asset pricing theory. ⋮ Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes ⋮ A Bayesian-martingale approach to the general disorder problem ⋮ Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations ⋮ Reflected backward stochastic differential equation with jumps and RCLL obstacle ⋮ Multi-dimensional BSDE with oblique reflection and optimal switching ⋮ Sequential systems of reflected backward stochastic differential equations with application to impulse control ⋮ Reflected BSDEs in non-convex domains ⋮ RBSDEs with optional barriers: monotone approximation ⋮ On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles ⋮ On the stochastic control-stopping problem ⋮ Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier ⋮ Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type ⋮ The adapted solutions and comparison theorem for anticipated backward stochastic differential equations with Poisson jumps under the weak conditions ⋮ Optimal stopping for dynamic convex risk measures ⋮ BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient ⋮ Reflected generalized backward doubly SDEs driven by Lévy processes and applications ⋮ Backward stochastic differential equations with two barriers and generalized reflection ⋮ Reflected BSDEs with regulated trajectories ⋮ PDE methods for optimal Skorokhod embeddings ⋮ Optimal stopping under ambiguity in continuous time ⋮ Stochastic differential games with reflection and related obstacle problems for Isaacs equations ⋮ A note on optional Snell envelopes and reflected backward SDEs ⋮ Reflected BSDEs with random default time and related mixed optimal stopping-control problems ⋮ Functional inequalities for forward and backward diffusions ⋮ Second order backward SDE with random terminal time ⋮ Penalisation techniques for one-dimensional reflected rough differential equations ⋮ Minimal supersolutions of convex BSDEs ⋮ On viscosity solutions of path dependent PDEs ⋮ Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions ⋮ Stochastic recursive zero-sum differential game and mixed zero-sum differential game problem ⋮ Reflected forward-backward stochastic differential equations with continuous monotone coefficients ⋮ Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case ⋮ Convertible bonds with higher loan rate: model, valuation, and optimal strategy ⋮ The obstacle problem for quasilinear stochastic PDEs: analytical approach ⋮ Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation ⋮ Valuing American options by simulation: a BSDEs approach ⋮ Reflected BSDEs with jumps in time-dependent convex càdlàg domains ⋮ Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle ⋮ Forward and backward stochastic differential equations with normal constraints in law ⋮ Reflected backward stochastic differential equations driven by Lévy processes ⋮ Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs ⋮ Reflected backward stochastic differential equations with time-delayed generators ⋮ Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process ⋮ BSDE with rcll reflecting barrier driven by a Lévy process ⋮ Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty ⋮ On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Reflected backward SDEs with two barriers under monotonicity and general increasing conditions ⋮ A Brownian optimal switching problem under incomplete information ⋮ Monotonic limit theorem for BSDEs with regulated trajectories ⋮ A general comparison theorem for reflected BSDEs ⋮ Transportation cost inequality for backward stochastic differential equations with mean reflection ⋮ BSDEs with mean reflection ⋮ Quasilinear stochastic PDEs with two obstacles: probabilistic approach ⋮ Reflected quadratic BSDEs driven by \(G\)-Brownian motions ⋮ Quadratic BSDEs with mean reflection ⋮ Reflected BSDEs with time-delayed generators and nonlinear resistance ⋮ Anticipated backward stochastic differential equations ⋮ Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions ⋮ The obstacle problem for quasilinear stochastic PDEs with degenerate operator ⋮ Obliquely reflected backward stochastic differential equations ⋮ Reflected backward stochastic differential equations with two optional barriers ⋮ Minimal Root's embeddings for general starting and target distributions ⋮ Optimal stopping of marked point processes and reflected backward stochastic differential equations ⋮ BSDEs with mean reflection driven by \(G\)-Brownian motion ⋮ Reflected backward stochastic differential equation with rank-based data ⋮ Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space ⋮ American options in nonlinear markets ⋮ The convergence rate from discrete to continuous optimal investment stopping problem ⋮ On the finite horizon optimal switching problem with random lag ⋮ Optimal retirement in a general market environment ⋮ Backward stochastic differential equations with subdifferential operator and related variational inequalities ⋮ A multi-step scheme based on cubic spline for solving backward stochastic differential equations ⋮ Optimal stopping with \(f\)-expectations: the irregular case ⋮ A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance ⋮ Penalty method for obliquely reflected diffusions ⋮ A balance sheet optimal multi-modes switching problem ⋮ Switching problems with controlled randomisation and associated obliquely reflected BSDEs ⋮ An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion ⋮ \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method ⋮ Gittins' theorem under uncertainty ⋮ Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs ⋮ Robust classical-impulse stochastic control problems in an infinite horizon ⋮ High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion ⋮ Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing. ⋮ Quadratic mean-field reflected BSDEs ⋮ Stochastic quadratic BSDE with two RCLL obstacles ⋮ Existence and large-time asymptotics for solutions of semilinear parabolic systems with measure data ⋮ A fully quantization-based scheme for FBSDEs ⋮ Continuous dependence property of BSDE with constraints ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients ⋮ Backward stochastic variational inequalities on random interval ⋮ Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control ⋮ Doubly reflected backward stochastic differential equations in the predictable setting ⋮ Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs

Cites Work

This page was built for publication: Reflected solutions of backward SDE's, and related obstacle problems for PDE's

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:1356364&oldid=13494977"