Backward stochastic differential equations with two barriers and generalized reflection

DOI10.1016/J.SPA.2020.01.015MaRDI QIDQ2186646zbMATH OpenOpenAlexWikidataFDO

Authors Adrian Falkowski, Leszek Slominski

Publication date 9 June 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2020.01.015

zbMATH Keywords

optimal stopping problemreflected backward stochastic differential equationgeneralized reflection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 1354281 (Why is no real title available?)
• BSDEs with monotone generator and two irregular reflecting barriers
• BSDEs with two reflecting barriers: the general result
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Backward stochastic differential equations with reflection and Dynkin games
• Càdlàg Skorokhod problem driven by a maximal monotone operator
• Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition
• Multivalued monotone stochastic differential equations with jumps
• On Neumann type problems for nonlocal equations set in a half space
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Reflected BSDE's with discontinuous barrier and application
• Reflected BSDEs in time-dependent convex regions
• Reflected BSDEs with general filtration and two completely separated barriers
• Reflected BSDEs with monotone generator
• Reflected BSDEs with regulated trajectories
• Reflected backward stochastic differential equations with jumps
• Reflected backward stochastic differential equations with two optional barriers
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflexion discontinue et systèmes stochastiques
• Stochastic differential equations with jump reflection at time-dependent barriers
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition

Cited in

(21)

• On variant reflected backward SDEs, with applications
• Backward doubly-stochastic differential equations with mean reflection
• Backward stochastic differential equations with mean reflection and two constraints
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Representations and regularities for solutions to BSDEs with reflections
• Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type
• Reflected BSDEs with regulated trajectories
• Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies
• Reflected BSDEs with random default time and related mixed optimal stopping-control problems
• Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
• Two-barriers reflected backward doubly SDEs beyond right continuity
• Generalized Snell envelope as a minimal solution of BSDE with lower barriers
• Backward SDEs with two barriers and continuous coefficient: an existence result
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Reflected backward stochastic differential equations with two optional barriers
• On Stochastic Differential Equations with Reflecting Barriers
• Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• scientific article; zbMATH DE number 2147517 (Why is no real title available?)
• One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients
• The two-barrier problem for continuously differentiable processes

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