Reflected backward stochastic partial differential equations with jumps in a convex domain

DOI10.1016/J.SPL.2019.04.019zbMATH Open1433.60063OpenAlexW2945541237MaRDI QIDQ2322656FDOQ2322656

Xue Yang

Publication date: 5 September 2019

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

Full work available at URL: https://doi.org/10.1016/j.spl.2019.04.019

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zbMATH Keywords

backward stochastic partial differential equationsconvexityPoisson random measuresreflection problem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random measures (60G57)

Cites Work

• Stochastic maximum principle for distributed parameter systems
• White noise driven quasilinear SPDEs with reflection
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• White noise driven SPDEs with reflection: existence, uniqueness and large deviation principles
• Hitting properties of parabolic s.p.d.e.'s with reflection.
• White noise driven SPDEs with reflection: Strong Feller properties and Harnack inequalities
• Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection
• Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
• Title not available (Why is that?)
• Systems of stochastic partial differential equations with reflection: existence and uniqueness
• Backward doubly SDEs and semilinear stochastic PDEs in a convex domain

Cited In (9)

• A multi-dimensional backward stochastic differential equation with oblique reflection and jumps
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
• Title not available (Why is that?)
• Infinite dimensional BSDE with jumps
• Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations
• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
• Reflected backward stochastic partial differential equations in a convex domain
• Reflected forward-backward SDEs and obstacle problems with boundary conditions

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