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

DOI10.1080/17442508.2019.1635599zbMATH Open1490.60073OpenAlexW2954086233WikidataQ127560062 ScholiaQ127560062MaRDI QIDQ5086484FDOQ5086484

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

Recommendations

• Reflected BSDEs with regulated trajectories
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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)

Cites Work

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• Reflected BSDE's with discontinuous barrier and application
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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
• Reflections on BSDEs
• Generalized Snell envelope as a minimal solution of BSDE with lower barriers

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