Reflected BSDEs with nonpositive jumps, and controller-and-stopper games

DOI10.1016/j.spa.2014.09.015zbMath1325.60087arXiv1308.5511OpenAlexW2018676027MaRDI QIDQ2512848

Huyên Pham, Andrea Cosso, Sébastien Choukroun

Publication date: 30 January 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.5511

zbMATH Keywords

minimal solutionreflected backward stochastic differential equationsregime-switching jump-diffusionconstrained jumpsfully nonlinear variational inequalitiesstochastic differential controller-and-stopper games

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Existence of optimal solutions to problems involving randomness (49J55) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)

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