Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier

DOI10.1216/JIE.2022.34.201MaRDI QIDQ2168956zbMATH OpenOpenAlexFDO

Authors Mohamed El Jamali, Mohamed El Otmani

Publication date 29 August 2022

Published in Journal of Integral Equations and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1216/jie.2022.34.201

zbMATH Keywords

inhomogeneous simple Lévy processesreflected BSDEsright continuous left-hand limited (rcll) obstaclestochastic Lipschitz coefficient

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(7)

• BSDE with rcll reflecting barrier driven by a Lévy process
• 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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