Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1142/S0219493712003651zbMath1248.60064arXiv0807.1846OpenAlexW2107345472MaRDI 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 solutionpenalizationSnell envelopeobstacle PDEreflected backward stochastic equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic processes (60G99)

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Cites Work

• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Inf-convolution of risk measures and optimal risk transfer
• \(L^p\) solutions of backward stochastic differential equations.
• Backward stochastic differential equations and integral-partial differential equations
• User’s guide to viscosity solutions of second order partial differential equations
• Backward Stochastic Differential Equations in Finance
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
• Backward equations, stochastic control and zero-sum stochastic differential games
• ON A FINITE HORIZON STARTING AND STOPPING PROBLEM WITH RISK OF ABANDONMENT
• On the Starting and Stopping Problem: Application in Reversible Investments

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