Reflected BSDE's with discontinuous barrier and application

DOI10.1080/1045112021000036545MaRDI QIDQ4796604zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(99)

• On variant reflected backward SDEs, with applications
• Backward stochastic differential equations with mean reflection and two constraints
• Reflected backward SDEs with general jumps
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
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• Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
• 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
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Reflected BSDE driven by a Lévy process
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• Irregular barrier reflected BSDEs driven by a Lévy process
• A finite horizon optimal switching problem with memory and application to controlled SDDEs
• Reflected BSDEs with regulated trajectories
• Reflected backward stochastic differential equations driven by Lévy processes
• Reflected generalized backward doubly SDEs driven by Lévy processes and applications
• Reflected backward stochastic differential equations with resistance
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• An Overview of Viscosity Solutions of Path-Dependent PDEs
• Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
• Numerical methods for backward stochastic differential equations: a survey
• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
• Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form
• Stochastic impulse control of non-Markovian processes
• Reflected backward stochastic differential equations with two RCLL barriers
• Strong solutions of semilinear parabolic equations with measure data and generalized backward stochastic differential equations
• Reflected backward doubly stochastic differential equations driven by a Lévy process
• Reflected BSDEs with optional barrier in a general filtration
• Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Second order reflected backward stochastic differential equations
• Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
• Reflected backward stochastic differential equations with two optional barriers
• Optimal multi-modes switching problem in infinite horizon
• Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
• Switching problem and related system of reflected backward SDEs
• Reflected backward stochastic differential equations with time delayed generators
• Finite-horizon optimal multiple switching with signed switching costs
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• On the finite horizon optimal switching problem with random lag
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• Stochastic quadratic BSDE with two RCLL obstacles
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• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
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• Risk measures for processes and BSDEs
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• Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
• Doubly reflected BSDEs driven by a Lévy process
• An existence theorem for multidimensional BSDEs with mixed reflections
• Reflected BSDEs with jumps in time-dependent convex càdlàg domains
• A balance sheet optimal multi-modes switching problem
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• A general comparison theorem for reflected BSDEs
• Risk sensitive impulse control of non-Markovian processes
• A two-mode mean-field optimal switching problem for the full balance sheet
• Optimal stopping with \(f\)-expectations: the irregular case
• Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
• Reflections on BSDEs
• Strong Snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale
• Optimal stopping of marked point processes and reflected backward stochastic differential equations
• American options in nonlinear markets
• Reflected backward stochastic differential equations driven by \(G\)-Brownian motion under monotonicity condition
• \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
• Averaging principle for backward stochastic differential equations
• Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions
• Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
• Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies
• 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
• Reflected BSDEs with random default time and related mixed optimal stopping-control problems
• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• Mean-field reflected backward stochastic differential equations
• 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
• Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
• Predictable solution for reflected BSDEs when the obstacle is not right-continuous
• Optimal stochastic impulse control with random coefficients and execution delay
• On a switching control problem with càdlàg costs
• Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
• Infinite horizon reflected backward stochastic differential equations with Markov chains
• Wellposedness of second order reflected BSDEs: A new formulation
• Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
• Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
• Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
• Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
• Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles
• Reflected BSDEs when the obstacle is not right-continuous in a general filtration
• A note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients

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