Anticipated Backward Stochastic Differential Equation with Reflection

DOI10.1080/03610918.2015.1011336MaRDI QIDQ2816697zbMATH OpenOpenAlexWikidataFDO

Authors Xinwei Feng

Publication date 25 August 2016

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1011336

zbMATH Keywords

backward stochastic differential equationsLipschitz conditionnon-Lipschitz conditionreflecting boundary

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Cites work

• Adapted solution of a backward stochastic differential equation
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Anticipated backward stochastic differential equations
• Anticipated backward stochastic differential equations driven by the Teugels martingales
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations with locally Lipschitz coefficient
• Backward stochastic differential equations with reflection and Dynkin games
• Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
• Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
• On the existence and uniqueness of solutions to stochastic equations in infinite dimension with integral-Lipschitz coefficients.
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's

Cited in

(5)

• ANTICIPATING MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTIONS
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• Anticipated backward stochastic variational inequalities with generalized reflection
• Anticipated BSDEs with reflection in convex region
• Converse comparison theorems for multidimensional anticipated backward stochastic differential equations

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