Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
From MaRDI portal
Publication:2575557
DOI10.1016/j.spl.2005.05.016zbMath1082.60059OpenAlexW1999613271MaRDI QIDQ2575557
Mingyu Xu, Jean-Pierre Lepeltier
Publication date: 5 December 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2005.05.016
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)
Related Items (58)
Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ Reflected BSDE driven by a Lévy process ⋮ A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations ⋮ Reflected backward stochastic differential equation with jumps and RCLL obstacle ⋮ Reflected backward stochastic differential equations with resistance ⋮ Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs ⋮ Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition ⋮ Reflected backward stochastic differential equations with perturbations ⋮ Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier ⋮ Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type ⋮ Quadratic reflected BSDEs and related obstacle problems for PDEs ⋮ Averaging principle for backward stochastic differential equations ⋮ Second order reflected backward stochastic differential equations ⋮ Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type ⋮ Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis ⋮ Backward stochastic differential equations with two barriers and generalized reflection ⋮ Minimal solution of irregular barrier reflected BDSDEs with left confinuous and stochastic linear growth generators ⋮ Second-order BSDEs with general reflection and game options under uncertainty ⋮ Reflected BSDEs with regulated trajectories ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS ⋮ Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation ⋮ Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions ⋮ Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions ⋮ Mean-field doubly reflected backward stochastic differential equations ⋮ Dynamic programming approach to reflected backward stochastic differential equations ⋮ Doubly reflected BSDEs driven by a Lévy process ⋮ Wellposedness of second order reflected BSDEs: A new formulation ⋮ Dual formulation of second order target problems ⋮ Reflected backward stochastic differential equations with time delayed generators ⋮ Reflected BSDE with a constraint and its applications in an incomplete market ⋮ Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion ⋮ Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty ⋮ Reflected and doubly reflected backward stochastic differential equations with time-delayed generators ⋮ Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle ⋮ Risk measures for processes and BSDEs ⋮ Reflected backward stochastic differential equations driven by Lévy processes ⋮ BSDE with rcll reflecting barrier driven by a Lévy process ⋮ Monotonic limit theorem for BSDEs with regulated trajectories ⋮ A general comparison theorem for reflected BSDEs ⋮ Infinite horizon reflected backward stochastic differential equations with Markov chains ⋮ Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison ⋮ Reflected backward doubly stochastic differential equations driven by a Lévy process ⋮ Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison ⋮ Reflected backward stochastic differential equations with two RCLL barriers ⋮ On solutions to backward stochastic partial differential equations for Lévy processes ⋮ Reflected BSDEs in time-dependent convex regions ⋮ Reflected BSDEs with nonpositive jumps, and controller-and-stopper games ⋮ A full balance sheet two-mode optimal switching problem ⋮ American options in nonlinear markets ⋮ Reflected Backward SDEs with General Jumps ⋮ \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method ⋮ REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS ⋮ On generalized reflected BSDEs with Rcll obstacle ⋮ Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle ⋮ Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition ⋮ Stochastic Control Representations for Penalized Backward Stochastic Differential Equations ⋮ Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
Cites Work
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Backward Stochastic Differential Equations in Finance
- Reflected BSDE's with discontinuous barrier and application
This page was built for publication: Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
