Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
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Cites work
- scientific article; zbMATH DE number 3740439 (Why is no real title available?)
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- Adapted solution of a backward stochastic differential equation
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Cited in
(63)- Multi-dimensional reflected backward stochastic differential equations driven by \(G\)-Brownian motion with diagonal generators
- Reflections on BSDEs
- Reflected backward stochastic differential equations driven by \(G\)-Brownian motion under monotonicity condition
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- Dynamic programming approach to reflected backward stochastic differential equations
- Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process
- Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
- Minimal solution of irregular barrier reflected BDSDEs with left confinuous and stochastic linear growth generators
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- Monotonic limit theorem for BSDEs with regulated trajectories
- Reflected backward SDEs with general jumps
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- BSDE with rcll reflecting barrier driven by a Lévy process
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- Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
- On solutions to backward stochastic partial differential equations for Lévy processes
- Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type
- Quadratic reflected BSDEs and related obstacle problems for PDEs
- Dual formulation of second order target problems
- Reflected BSDEs with regulated trajectories
- Reflected backward stochastic differential equations driven by Lévy processes
- Reflected backward stochastic differential equations with resistance
- Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
- A full balance sheet two-mode optimal switching problem
- Second-order BSDEs with general reflection and game options under uncertainty
- Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs
- Penalisation techniques for one-dimensional reflected rough differential equations
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- Infinite horizon reflected backward stochastic differential equations with Markov chains
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- Reflected and doubly reflected BSDEs driven by RCLL martingales
- Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
- Reflected backward stochastic differential equations with perturbations
- Reflected backward stochastic differential equations driven by a Lévy process
- Reflected BSDE with a constraint and its applications in an incomplete market
- Risk measures for processes and BSDEs
- Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
- Doubly reflected BSDEs driven by a Lévy process
- Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty
- Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
- A general comparison theorem for reflected BSDEs
- Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
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