scientific article; zbMATH DE number 1069627
From MaRDI portal
Publication:4356589
a priori estimatescomparison theoremexistenceobstacle problemuniquenessAmerican optionsreflected backward stochastic differential equationsnonlinear parabolic partial differential equationunique viscosity solutiondeterministic Skohorod problemMarkovian frameworknon-reflected BSDEsoptimal stopping time control
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)
Recommendations
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Second order reflected backward stochastic differential equations
- Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
- Reflected BDSDEs with stochastic monotone generator and application to valuing American options
- Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
Cited in
(88)- Multi-dimensional reflected backward stochastic differential equations driven by \(G\)-Brownian motion with diagonal generators
- Optimal stopping under g-Expectation with -integrable reward process
- Reflections on BSDEs
- Penalization schemes for BSDEs and reflected BSDEs with generalized driver
- Reflected BDSDEs with stochastic monotone generator and application to valuing American options
- Quadratic reflected BSDEs and related obstacle problems for PDEs
- Pricing American put option using RBF-NN: new simulation of Black-Scholes
- Backward simulation methods for pricing American options under the CIR process
- Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
- Dynamic programming approach to reflected backward stochastic differential equations
- Doubly reflected BSDEs with call protection and their approximation
- A new method of valuing American options based on Brownian models
- Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
- Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations
- Wellposedness of second order reflected BSDEs: A new formulation
- Mean reflected BSDE driven by a marked point process and application in insurance risk management
- On perpetual American options in a multidimensional Black-Scholes model
- Constrained backward SDEs with jumps and American options
- Reflected forward backward stochastic differential equations and contingent claims
- Doubly reflected backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
- PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS
- A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times
- Optimal stopping under adverse nonlinear expectation and related games
- Optimal stopping with \(f\)-expectations: the irregular case
- \(L^p\)-estimates of solutions of backward doubly stochastic differential equations
- Valuing American options by simulation: a BSDEs approach
- Reflected forward-backward stochastic differential equations with continuous monotone coefficients
- Reflected backward SDEs with general jumps
- Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
- Discrete-time approximation for continuously and discretely reflected BSDEs
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
- American options in nonlinear markets
- American options in an imperfect complete market with default
- Representations and regularities for solutions to BSDEs with reflections
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- Perturbed backward stochastic differential equations
- Reflected BSDE driven by a Lévy process
- Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
- Stochastic recursive zero-sum differential game and mixed zero-sum differential game problem
- \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
- Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
- BSDE with rcll reflecting barrier driven by a Lévy process
- Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
- Anticipated backward doubly stochastic differential equations
- On controller-stopper problems with jumps and their applications to indifference pricing of American options
- Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
- Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
- Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule
- Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type
- A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations
- Quadratic mean-field reflected BSDEs
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
- Convertible bonds with higher loan rate: model, valuation, and optimal strategy
- Multi-dimensional BSDEs with mean reflection
- Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
- Stochastic optimal control problem with obstacle constraints in sublinear expectation framework
- Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
- BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient
- Second-order BSDEs with general reflection and game options under uncertainty
- Numerical methods for backward stochastic differential equations: a survey
- BSDEs with jumps and two completely separated irregular barriers in a general filtration
- Reflected generalized BSDEs with random time and applications
- Quadratic BSDEs with mean reflection
- Stochastic control representations for penalized backward stochastic differential equations
- Second order reflected backward stochastic differential equations
- Probabilistic methods for semilinear partial differential equations. Applications to finance
- Some analytic approximations for backward stochastic differential equations
- Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
- American options with asymmetric information and reflected BSDE
- scientific article; zbMATH DE number 1850755 (Why is no real title available?)
- A convolution method for numerical solution of backward stochastic differential equations
- BSDEs with mean reflection driven by \(G\)-Brownian motion
- Efficient numerical Fourier methods for coupled forward-backward SDEs
- A note on the doubly reflected backward stochastic differential equations driven by a Lévy process
- On backward stochastic differential equations approach to valuation of American options
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
- Reflected BSDE with a constraint and its applications in an incomplete market
- \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
- Stochastic differential games with reflection and related obstacle problems for Isaacs equations
- Reflected BSDEs with jumps in time-dependent convex càdlàg domains
- A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
- A general comparison theorem for reflected BSDEs
- Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
- Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
- Reflected backward stochastic differential equations with jumps in time-dependent random convex domains
- About the pricing equations in finance
- Forward–backward stochastic differential equations with delay generators
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4356589)
