BSDEs with jumps and two completely separated irregular barriers in a general filtration

zbMATH Open1469.60190MaRDI QIDQ4989417FDOQ4989417

Authors: Mohamed Marzougue, Mohamed El Otmani 

Publication date: 25 May 2021

Full work available at URL: http://alea.impa.br/articles/v18/18-28.pdf

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zbMATH Keywords

penalization methoddoubly reflected backward stochastic differential equationsgeneral filtrationstochastic Lipschitz coefficientoptional barriers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integral equations (60H20)

Cites Work

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Cited In (8)

• Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions
• Irregular barrier reflected BSDEs driven by a Lévy process
• Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps
• Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
• Two-barriers reflected backward doubly SDEs beyond right continuity
• Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games
• Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
• Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies

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