Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
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Publication:2575557
DOI10.1016/J.SPL.2005.05.016zbMATH Open1082.60059OpenAlexW1999613271MaRDI QIDQ2575557FDOQ2575557
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
Recommendations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)
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Cited In (61)
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- Multi-dimensional reflected backward stochastic differential equations driven by \(G\)-Brownian motion with diagonal generators
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- Reflections on BSDEs
- Mean-field doubly reflected backward stochastic differential equations
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- A full balance sheet two-mode optimal switching problem
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- Second-order BSDEs with general reflection and game options under uncertainty
- Reflected backward stochastic differential equations with time delayed generators
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- Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
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- Reflected backward stochastic differential equations driven by Lévy processes
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- Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
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- Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
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- Averaging principle for backward stochastic differential equations
- Dual formulation of second order target problems
- A general comparison theorem for reflected BSDEs
- Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
- Risk measures for processes and BSDEs
- Reflected backward stochastic differential equation with jumps and RCLL obstacle
- Reflected BSDEs in time-dependent convex regions
- REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS
- Reflected backward SDEs with general jumps
- Backward stochastic differential equations with two barriers and generalized reflection
- Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
- Second order reflected backward stochastic differential equations
- Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
- Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
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