Reflected backward stochastic differential equations with jumps
From MaRDI portal
Publication:4236077
DOI10.1080/17442509808834175zbMath0918.60046OpenAlexW1977518742MaRDI QIDQ4236077
Publication date: 17 August 1999
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509808834175
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)
Related Items (33)
Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes ⋮ Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections ⋮ Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient ⋮ Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process ⋮ Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition ⋮ Reflected backward stochastic differential equations with perturbations ⋮ Reflected backward stochastic differential equations with jumps in time-dependent random convex domains ⋮ Backward stochastic differential equations with two barriers and generalized reflection ⋮ Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations ⋮ Irregular barrier reflected BSDEs driven by a Lévy process ⋮ Doubly reflected BSDEs driven by a Lévy process ⋮ A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition ⋮ The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem ⋮ Backward stochastic differential equations approach to hedging, option pricing, and insurance problems ⋮ Reflected BSDEs with jumps in time-dependent convex càdlàg domains ⋮ BSDE driven by a simple Lévy process with continuous coefficient ⋮ BSDE with rcll reflecting barrier driven by a Lévy process ⋮ On comparison theorem and solutions of BSDEs for Lévy processess ⋮ Optimality conditions for partial information stochastic control problems driven by Lévy processes ⋮ Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison ⋮ BSDE driven by Poisson point processes with discontinuous coefficient ⋮ Ergodicity of Lévy flows ⋮ Systems of semilinear parabolic variational inequalities with time-dependent convex obstacles ⋮ Obliquely reflected backward stochastic differential equations ⋮ Reflected BSDEs in time-dependent convex regions ⋮ Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps ⋮ Reflected BSDE of Wiener-Poisson type in time-dependent domains ⋮ Homogenization of Multivalued Partial Differential Equations via Reflected Backward Stochastic Differential Equations ⋮ Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes ⋮ One barrier reflected backward doubly stochastic differential equations with continuous generator ⋮ Reflected Backward SDEs in a Convex Polyhedron ⋮ REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS ⋮ Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
This page was built for publication: Reflected backward stochastic differential equations with jumps