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

MaRDI QIDQ388750zbMATH OpenFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 192938 (Why is no real title available?)
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with reflection and weak assumptions on the coefficients
• Filtration-consistent nonlinear expectations and related g-expectations
• Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• One barrier reflected backward doubly stochastic differential equations with continuous generator
• Reflected BSDE's with discontinuous barrier and application
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Semimartingale Inequalities for The Snell Envelopes
• Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles

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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