Strong Snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale

DOI10.1080/17442508.2019.1635599MaRDI QIDQ5086484zbMATH OpenOpenAlexWikidataFDO

Authors Khadija Akdim, Mouna Haddadi, Youssef Ouknine

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2019.1635599

zbMATH Keywords

reflected backward stochastic differential equationSnell envelopeMertens decompositionstrong optional supermartingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07)

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• Backward Stochastic Differential Equations in Finance
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• Reflected BSDE's with discontinuous barrier and application
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Reflected backward SDEs with general jumps
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Th�orie des processus stochastiques g�n�raux applications aux surmartingales

Cited in

(10)

• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• A note on optional Snell envelopes and reflected backward SDEs
• Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions
• Monotonic limit theorem for BSDEs with regulated trajectories
• Irregular barrier reflected BSDEs driven by a Lévy process
• Predictable solution for reflected BSDEs when the obstacle is not right-continuous
• Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle
• Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process
• Generalized Snell envelope as a minimal solution of BSDE with lower barriers
• Reflections on BSDEs

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