Reflected BSDE's with discontinuous barrier and application

DOI10.1080/1045112021000036545zbMATH Open1015.60057OpenAlexW2064462993MaRDI QIDQ4796604FDOQ4796604

Authors: Said Hamadène 

Publication date: 29 July 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1045112021000036545

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zbMATH Keywords

stopping timebackward stochastic differential equationscomparison theoremSnell envelopereflected backward stochastic differential equationsmixed control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic analysis (60H99)

Cited In (99)

• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Reflected backward stochastic differential equations with time delayed generators
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• Strong solutions of semilinear parabolic equations with measure data and generalized backward stochastic differential equations
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• Reflected backward stochastic differential equations with two RCLL barriers
• Optimal multi-modes switching problem in infinite horizon
• Reflected BSDE driven by a Lévy process
• Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison
• \(L^p\)-solution of reflected generalized BSDEs with non-Lipschitz coefficients
• On the finite horizon optimal switching problem with random lag
• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
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• Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle
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• A finite horizon optimal switching problem with memory and application to controlled SDDEs
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• Stochastic impulse control of non-Markovian processes
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• Backward stochastic differential equations with two barriers and generalized reflection
• Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
• Reflected backward stochastic differential equations with two optional barriers
• Stochastic quadratic BSDE with two RCLL obstacles
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• A balance sheet optimal multi-modes switching problem
• Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle
• Second order reflected backward stochastic differential equations
• An Overview of Viscosity Solutions of Path-Dependent PDEs
• Reflected BSDEs with optional barrier in a general filtration
• Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
• Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
• Reflected backward stochastic differential equations driven by a Lévy process
• Reflected backward stochastic differential equations driven by \(G\)-Brownian motion under monotonicity condition
• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
• Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
• Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
• Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
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• Optimal stopping with \(f\)-expectations: the irregular case
• Infinite horizon reflected backward stochastic differential equations with Markov chains
• Reflected BSDEs when the obstacle is not right-continuous in a general filtration
• Optimal stochastic impulse control with random coefficients and execution delay
• Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
• Dynamic programming approach to reflected backward stochastic differential equations
• Predictable solution for reflected BSDEs when the obstacle is not right-continuous
• Optimal stopping of marked point processes and reflected backward stochastic differential equations
• American options in nonlinear markets
• Averaging principle for backward stochastic differential equations
• Wellposedness of second order reflected BSDEs: A new formulation
• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient
• Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles
• Doubly reflected BSDEs with call protection and their approximation
• Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
• Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
• Reflected BSDEs with random default time and related mixed optimal stopping-control problems
• Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
• Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions
• A note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients
• Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
• Mean-field reflected backward stochastic differential equations
• Reflections on BSDEs
• Strong Snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale
• Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies
• Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation

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