Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps

DOI10.1080/SAP-200050114zbMATH Open1082.60049OpenAlexW1967221173WikidataQ115294693 ScholiaQ115294693MaRDI QIDQ5697668FDOQ5697668

Authors: Youssef Ouknine, N. Harraj, E. H. Essaky Edit this on Wikidata

Publication date: 18 October 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/sap-200050114

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zbMATH Keywords

penalization methodPoisson random measuretwo-barrier problem

Mathematics Subject Classification ID

Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Stochastic analysis (60H99)

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• Backward stochastic differential equations with continuous coefficient
• Title not available (Why is that?)
• Backward equations, stochastic control and zero-sum stochastic differential games
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Reflected forward-backward SDEs and obstacle problems with boundary conditions
• Backward stochastic differential equation with local time
• Infinite dimensional BSDE with jumps
• Some generic properties in backward stochastic differential equations with continuous coefficient
• Reflected backward stochastic differential equation with super-linear growth

Cited In (25)

• Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections
• BSDEs with jumps and two completely separated irregular barriers in a general filtration
• A multi-dimensional backward stochastic differential equation with oblique reflection and jumps
• Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs
• Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
• Title not available (Why is that?)
• Title not available (Why is that?)
• A note on the doubly reflected backward stochastic differential equations driven by a Lévy process
• Doubly reflected backward stochastic differential equations in the predictable setting
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient
• Doubly reflected BSDEs driven by a Lévy process
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
• Reflected backward SDEs with general jumps
• Double barrier reflected BSDEs with stochastic Lipschitz coefficient
• Mean reflected stochastic differential equations with jumps
• Backward SDEs with two barriers and continuous coefficient: an existence result
• Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies
• Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
• Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case

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