Stochastic variational inequality and reflected BSDE with single L^2 obstacle

zbMATH Open1283.60096MaRDI QIDQ388750FDOQ388750

Authors: Abou Sène, A. Diakhaby, Youssef Ouknine 

Publication date: 6 January 2014

Published in: African Diaspora Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.adjm/1383327858

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zbMATH Keywords

reflected backward stochastic differential equationstochastic variational inequality\(g\)-expectationSnell envelopeGirsanov nonlinear transformation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)

Cites Work

• 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
• Adapted solution of a backward stochastic differential equation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Reflected BSDE's with discontinuous barrier and application
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• One barrier reflected backward doubly stochastic differential equations with continuous generator
• Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
• Semimartingale Inequalities for The Snell Envelopes
• Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes
• Backward stochastic differential equations with reflection and weak assumptions on the coefficients

Cited In (2)

• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Stochastic Bihari inequality and applications to BSDE

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