Reflected backward stochastic differential equations driven by a Lévy process

DOI10.1017/S1446181109000303MaRDI QIDQ5851002zbMATH OpenOpenAlexFDO

Authors Yong Ren, Xiliang Fan

Publication date 21 January 2010

Published in The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1446181109000303

zbMATH Keywords

Lévy processpartial differential-integral inclusionpenalization methodreflected backward stochastic differential equationTeugels martingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cites work

• Adapted solution of a backward stochastic differential equation
• 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 in Finance
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• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Chaotic and predictable representations for Lévy processes.
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• scientific article; zbMATH DE number 1121855 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• 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 backward stochastic differential equation with jumps and locally Lipschitz coefficient
• Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient
• Reflected backward stochastic differential equations driven by Lévy processes
• Reflected backward stochastic differential equations with jumps
• Reflected BSDE's with discontinuous barrier and application
• 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 generalized backward doubly SDEs driven by Lévy processes and applications
• BSDE with rcll reflecting barrier driven by a Lévy process
• Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Forward-backward SDEs driven by Lévy process in stopping time duration
• \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
• Reflected backward stochastic differential equations driven by Lévy processes
• A class of RBSDEs driven by Lévy processes
• 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
• 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
• On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
• Reflected BSDE driven by a Lévy process

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