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

Mertens decompositionreflected backward stochastic differential equationSnell envelopestrong optional supermartingale

Mathematics Subject Classification ID

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

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Cites work

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• Reflected backward stochastic differential equation with jumps and RCLL obstacle
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• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
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Cited in

(16)

• 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
• Predictable solution for reflected BSDEs when the obstacle is not right-continuous
• Generalized Snell envelope as a minimal solution of BSDE with lower barriers
• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• 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
• Irregular barrier reflected BSDEs driven by a Lévy process
• Reflections on BSDEs
• Optimal control over split stopping times in defaultable settings and reflected BSDEs with irregular obstacles
• Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by optional semimartingales
• Reflected BSDEs with default time and irregular obstacles
• Backward stochastic differential equations driven by optional semimartingales with conditional reflecting and regulated barrier
• On reflected BSDEs with jumps and default time
• Reflected BSDEs driven by RCLL martingales with stochastic Lipschitz coefficient in a general filtration: analysis and applications

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