scientific article; zbMATH DE number 1069627

zbMATH Open0898.90033MaRDI QIDQ4356589FDOQ4356589

Authors: Nicole El Karoui, Etienne Pardoux, Marie-Claire Quenez 

Publication date: 1 November 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

a priori estimatescomparison theoremexistenceobstacle problemuniquenessAmerican optionsreflected backward stochastic differential equationsnonlinear parabolic partial differential equationunique viscosity solutiondeterministic Skohorod problemMarkovian frameworknon-reflected BSDEsoptimal stopping time control

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Stopping times; optimal stopping problems; gambling theory (60G40) Microeconomic theory (price theory and economic markets) (91B24) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)

Cited In (81)

• Forward–backward stochastic differential equations with delay generators
• \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
• Convertible bonds with higher loan rate: model, valuation, and optimal strategy
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• Reflected BSDE with a constraint and its applications in an incomplete market
• Reflected backward stochastic differential equations with jumps in time-dependent random convex domains
• Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
• Anticipated backward doubly stochastic differential equations
• A note on the doubly reflected backward stochastic differential equations driven by a Lévy process
• Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
• Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
• Optimal stopping with \(f\)-expectations: the irregular case
• Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type
• Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
• Reflected BSDE driven by a Lévy process
• Stochastic recursive zero-sum differential game and mixed zero-sum differential game problem
• BSDE with rcll reflecting barrier driven by a Lévy process
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Stochastic optimal control problem with obstacle constraints in sublinear expectation framework
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• Lp - estimates of solutions of backward doubly stochastic differential equations
• Reflected and doubly reflected BSDEs driven by RCLL martingales
• Stochastic differential games with reflection and related obstacle problems for Isaacs equations
• A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
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• Quadratic BSDEs with mean reflection
• American options with asymmetric information and reflected BSDE
• Quadratic mean-field reflected BSDEs
• Representations and regularities for solutions to BSDEs with reflections
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
• Valuing American options by simulation: a BSDEs approach
• Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
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• A general comparison theorem for reflected BSDEs
• Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
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• Reflected BSDEs with jumps in time-dependent convex càdlàg domains
• Multi-dimensional BSDEs with mean reflection
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• Optimal stopping under adverse nonlinear expectation and related games
• Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
• Numerical methods for backward stochastic differential equations: a survey
• Reflected backward SDEs with general jumps
• Reflected forward-backward stochastic differential equations with continuous monotone coefficients
• Discrete-time approximation for continuously and discretely reflected BSDEs
• Some analytic approximations for backward stochastic differential equations
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
• A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations
• Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing
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• Probabilistic methods for semilinear partial differential equations. Applications to finance
• Second order reflected backward stochastic differential equations
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• Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
• Quadratic reflected BSDEs and related obstacle problems for PDEs
• Mean reflected BSDE driven by a marked point process and application in insurance risk management
• Multi-dimensional reflected backward stochastic differential equations driven by \(G\)-Brownian motion with diagonal generators
• On perpetual American options in a multidimensional Black–Scholes model
• Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
• Optimal stopping under g-Expectation with -integrable reward process
• Reflected forward backward stochastic differential equations and contingent claims
• Dynamic programming approach to reflected backward stochastic differential equations
• A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times
• Wellposedness of second order reflected BSDEs: A new formulation
• Doubly reflected backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
• Pricing American put option using RBF-NN: new simulation of Black-Scholes
• Backward simulation methods for pricing American options under the CIR process
• Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations
• Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
• PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS
• Reflections on BSDEs
• A new method of valuing American options based on Brownian models

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