Reflected backward stochastic differential equations with two RCLL barriers

DOI10.1051/ps:2007002zbMath1171.60352OpenAlexW2092772185MaRDI QIDQ5429586

Jean-Pierre Lepeltier, Mingyu Xu

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2007__11__3_0

zbMATH Keywords

optimal stoppingpenalization methodreflected backward stochastic differential equationsnell envelopedynkin game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items (19)

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Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Sur un problème de dynkin
• Reflected BSDE's with discontinuous barrier and application
• Backward SDEs with two barriers and continuous coefficient: an existence result
• Unnamed Item

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