Monotonic limit theorem for BSDEs with regulated trajectories

DOI10.1016/J.SPL.2021.109151MaRDI QIDQ2244479zbMATH OpenOpenAlexFDO

Authors Mohamed Marzougue

Publication date 12 November 2021

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

Full work available at URL https://doi.org/10.1016/j.spl.2021.109151

zbMATH Keywords

monotonic limit theorempenalization methodreflected backward stochastic differential equationsregulated processes

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A note on optional Snell envelopes and reflected backward SDEs
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient
• scientific article; zbMATH DE number 3665911 (Why is no real title available?)
• scientific article; zbMATH DE number 3727272 (Why is no real title available?)
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Optimal stopping with f-expectations: the irregular case
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Predictable solution for reflected BSDEs when the obstacle is not right-continuous
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
• Reflected BSDEs when the obstacle is not right-continuous in a general filtration
• Reflected BSDEs with optional barrier in a general filtration
• Reflected BSDEs with regulated trajectories
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Strong Snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale

Cited in

(4)

• Non-linear Dynkin games over split stopping times
• Monotonic limit theorem for \({L^p}\)-semimartingales on general time horizon
• Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process
• Irregular barrier reflected BSDEs driven by a Lévy process

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