Reflected backward stochastic differential equation with jumps and random obstacle
From MaRDI portal
Publication:1858672
zbMath1015.60051MaRDI QIDQ1858672
Said Hamadène, Youssef Ouknine
Publication date: 13 February 2003
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/122750
penalizationbackward stochastic differential equationPoisson point processmartingale representation theoremintegral-differential mixed control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99) Stochastic integral equations (60H20)
Related Items (56)
Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles ⋮ Reflected BSDE driven by a Lévy process ⋮ Reflected backward stochastic differential equation with jumps and RCLL obstacle ⋮ Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition ⋮ Reflected backward stochastic differential equation with jumps and viscosity solution of second order integro-differential equation without monotonicity condition: case with the measure of Lévy infinite ⋮ RBSDE's with jumps and the related obstacle problems for integral-partial differential equa\-tions ⋮ Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition ⋮ Reflected backward stochastic differential equations with perturbations ⋮ RBSDEs with optional barriers: monotone approximation ⋮ Infinite horizon impulse control problem with jumps and continuous switching costs ⋮ Predictable solution for reflected BSDEs when the obstacle is not right-continuous ⋮ The obstacle problem for quasilinear stochastic integral-partial differential equations ⋮ Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale ⋮ Reflected generalized BSDEs with random time and applications ⋮ BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient ⋮ Reflected generalized backward doubly SDEs driven by Lévy processes and applications ⋮ Unnamed Item ⋮ Existence and uniqueness of bounded weak solutions of a semilinear parabolic PDE ⋮ Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type ⋮ Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis ⋮ Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process ⋮ Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle ⋮ Viscosity solution of system of integro-partial differential equations with interconnected obstacles of non-local type without monotonicity conditions ⋮ Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations ⋮ Irregular barrier reflected BSDEs driven by a Lévy process ⋮ Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles ⋮ Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions ⋮ Backward doubly-stochastic differential equations with mean reflection ⋮ Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions ⋮ Doubly reflected BSDEs driven by a Lévy process ⋮ Reflected BSDEs with random default time and related mixed optimal stopping-control problems ⋮ Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty ⋮ Reflected BSDEs with optional barrier in a general filtration ⋮ The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem ⋮ Reflected and doubly reflected backward stochastic differential equations with time-delayed generators ⋮ Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case ⋮ Reflected BSDEs with jumps in time-dependent convex càdlàg domains ⋮ Reflected backward stochastic differential equations driven by Lévy processes ⋮ Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison ⋮ Reflected backward doubly stochastic differential equations driven by a Lévy process ⋮ Backward SDEs with constrained jumps and quasi-variational inequalities ⋮ Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison ⋮ Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient ⋮ Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator ⋮ Optimal stopping of marked point processes and reflected backward stochastic differential equations ⋮ Viscosity solutions of path-dependent integro-differential equations ⋮ Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space ⋮ Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps ⋮ Reflected Backward SDEs with General Jumps ⋮ Finite-Horizon Optimal Multiple Switching with Signed Switching Costs ⋮ \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method ⋮ Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes ⋮ Mean reflected stochastic differential equations with jumps ⋮ Reflected BSDEs when the obstacle is not right-continuous in a general filtration ⋮ Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem ⋮ Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
This page was built for publication: Reflected backward stochastic differential equation with jumps and random obstacle
