Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1142/S0219493712003651zbMath1248.60064arXiv0807.1846MaRDI QIDQ5389121

Said Hamadène, Alexandre Popier

Publication date: 24 April 2012

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.1846

zbMATH Keywords

viscosity solution; penalization; Snell envelope; obstacle PDE; reflected backward stochastic equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G40: Stopping times; optimal stopping problems; gambling theory

60G99: Stochastic processes

Related Items

Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition, Second order reflected backward stochastic differential equations, Second-order BSDEs with general reflection and game options under uncertainty, Reflected BSDEs on filtered probability spaces, Doubly reflected BSDEs with integrable parameters and related Dynkin games, Reflected backward stochastic differential equations with perturbations, Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities, Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type, Reflected forward–backward stochastic differential equations and related PDEs, L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations

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