A note on optional Snell envelopes and reflected backward SDEs

DOI10.1016/J.SPL.2020.108833zbMath1460.60054OpenAlexW3033861116MaRDI QIDQ2197605

Mohamed Marzougue

Publication date: 1 September 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108833

zbMATH Keywords

reflected backward stochastic differential equationsMertens decompositionsplit stopping timesoptional Snell envelopes

Mathematics Subject Classification ID

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

Related Items (10)

Predictable solution for reflected BSDEs when the obstacle is not right-continuous ⋮ Unnamed Item ⋮ Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ Irregular barrier reflected BSDEs driven by a Lévy process ⋮ Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions ⋮ Monotonic limit theorem for BSDEs with regulated trajectories ⋮ Two-barriers reflected backward doubly SDEs beyond right continuity ⋮ Non-linear Dynkin games over split stopping times

Cites Work

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• Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
• BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient
• Reflected BSDEs with regulated trajectories
• OPTIONAL MARTINGALES
• [https://portal.mardi4nfdi.de/wiki/Publication:5646185 Th�orie des processus stochastiques g�n�raux applications aux surmartingales]

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