Solving the double barrier reflected BSDEs via penalization method

DOI10.1016/J.SPL.2015.12.003zbMATH Open1336.60115OpenAlexW2217831919MaRDI QIDQ273699FDOQ273699

Authors: Min Li, Yufeng Shi 

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.12.003

zbMATH Keywords

semimartingalepenalization methodreflected backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Title not available (Why is that?)
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Backward Stochastic Differential Equations in Finance
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• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• BSDEs with two reflecting barriers: the general result
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• Title not available (Why is that?)
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis

Cited In (4)

• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient
• \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
• Double barrier reflected BSDEs with stochastic Lipschitz coefficient

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