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

DOI10.1016/J.SPL.2019.04.019MaRDI QIDQ2322656zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 3774629 (Why is no real title available?)
• Backward doubly SDEs and semilinear stochastic PDEs in a convex domain
• Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
• Hitting properties of parabolic s.p.d.e.'s with reflection.
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection
• Stochastic maximum principle for distributed parameter systems
• Systems of stochastic partial differential equations with reflection: existence and uniqueness
• White noise driven SPDEs with reflection: Strong Feller properties and Harnack inequalities
• White noise driven SPDEs with reflection: existence, uniqueness and large deviation principles
• White noise driven quasilinear SPDEs with reflection

Cited in

(15)

• Reflected forward-backward SDEs and obstacle problems with boundary conditions
• A multi-dimensional backward stochastic differential equation with oblique reflection and jumps
• Reflected backward stochastic differential equations with jumps in time-dependent random convex domains
• On the quasi-linear reflected backward stochastic partial differential equations
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected BSDEs in non-convex domains
• Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
• Reflected backward stochastic differential equations driven by countable Brownian motions
• Reflected stochastic partial differential equations with jumps
• scientific article; zbMATH DE number 5812589 (Why is no real title available?)
• Infinite dimensional BSDE with jumps
• Reflected BSDE of Wiener-Poisson type in time-dependent domains
• 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

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