Reflected backward stochastic differential equations driven by a Lévy process
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Publication:5851002
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Cites work
- scientific article; zbMATH DE number 1121855 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Adapted solution of a backward stochastic differential equation
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- Backward Stochastic Differential Equations in Finance
- Backward equations, stochastic control and zero-sum stochastic differential games
- Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
- Backward stochastic differential equations with jumps involving a subdifferential operator
- Backward stochastic differential equations with subdifferential operator and related variational inequalities
- Chaotic and predictable representations for Lévy processes.
- Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Reflected BSDE's with discontinuous barrier and application
- Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient
- Reflected backward stochastic differential equation with jumps and locally Lipschitz coefficient
- Reflected backward stochastic differential equations driven by Lévy processes
- Reflected backward stochastic differential equations with jumps
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Reflected solutions of backward stochastic differential equations with continuous coefficient
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Zero-sum stochastic differential games and backward equations
Cited in
(14)- Reflected BSDE driven by a Lévy process
- BSDE with rcll reflecting barrier driven by a Lévy process
- Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
- Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
- Reflected backward stochastic differential equations driven by Lévy processes
- Reflected generalized backward doubly SDEs driven by Lévy processes and applications
- Forward-backward SDEs driven by Lévy process in stopping time duration
- Numerical method for reflected backward stochastic differential equations
- Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process
- On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
- A class of RBSDEs driven by Lévy processes
- Optimal variational principle for backward stochastic control systems associated with Lévy processes
- A note on the reflected backward stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition
- \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
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