Generalized BSDE with two reflecting barriers
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Publication:5324871
DOI10.1515/ROSE.2008.020zbMATH Open1199.60208MaRDI QIDQ5324871FDOQ5324871
Authors: Mohamed El Otmani, Naoual Mrhardy 
Publication date: 8 August 2009
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Recommendations
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- Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
Cites Work
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Conjugate convex functions in optimal stochastic control
- Stochastic differential equations with reflecting boundary conditions
- Backward stochastic differential equations with reflection and Dynkin games
- BSDEs with two reflecting barriers: the general result
- Euler's approximations of solutions of SDEs with reflecting boundary.
- Generalized BSDEs and nonlinear Neumann boundary value problems
- Zero-sum stochastic differential games and backward equations
- Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
- Reflected forward-backward SDEs and obstacle problems with boundary conditions
- Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
- Backward SDEs with two barriers and continuous coefficient: an existence result
Cited In (11)
- Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
- Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs
- Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
- Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
- Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient
- BSDEs with two reflecting barriers: the general result
- Wellposedness of second order reflected BSDEs: A new formulation
- Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
- Backward stochastic differential equations with two barriers and generalized reflection
- Double barrier reflected BSDEs with stochastic Lipschitz coefficient
- Generalized Snell envelope as a minimal solution of BSDE with lower barriers
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