Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process

DOI10.1515/ROSE-2021-2060zbMATH Open1479.60112OpenAlexW3171158721MaRDI QIDQ2239787FDOQ2239787

Authors: Mohamed El Otmani 

Publication date: 5 November 2021

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

Full work available at URL: https://doi.org/10.1515/rose-2021-2060

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zbMATH Keywords

Teugels martingalesgeneralized BSDEsLévy process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

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Cited In (9)

• Reflected BSDE's with discontinuous barrier and application
• Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
• Irregular barrier reflected BSDEs driven by a Lévy process
• Reflected BSDE driven by a Lévy process
• The maximum of a Lévy process reflected at a general barrier
• Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
• Generalized BSDE with two reflecting barriers
• Reflected generalized backward doubly SDEs driven by Lévy processes and applications
• Reflected backward doubly stochastic differential equations driven by Teugels martingales associated to a Lévy process with discontinuous barrier

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