BSDE with rcll reflecting barrier driven by a Lévy process

DOI10.1515/ROSE-2020-2029MaRDI QIDQ1986117zbMATH OpenOpenAlexFDO

Authors Mohamed El Jamali, Mohamed El Otmani

Publication date 7 April 2020

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2020-2029

zbMATH Keywords

American optionLévy processreflected BSDEstochastic Lipschitz coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(11)

• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions
• Constrained backward SDEs with jumps and American options
• A class of RBSDEs driven by Lévy processes
• Reflected BDSDEs with stochastic monotone generator and application to valuing American options
• BSDEs with two RCLL reflecting barriers driven by a Lévy process
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS
• Irregular barrier reflected BSDEs driven by a Lévy process
• On RBSDELs with time-delayed generators and RCLL obstacle
• Reflected BSDE driven by a Lévy process

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