Reflected backward stochastic differential equations driven by a Lévy process

DOI10.1017/S1446181109000303zbMATH Open1181.60089OpenAlexW2166898165MaRDI QIDQ5851002FDOQ5851002

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

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zbMATH Keywords

penalization methodreflected backward stochastic differential equationTeugels martingaleLévy processpartial differential-integral inclusion

Mathematics Subject Classification ID

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

Cites Work

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• Backward Stochastic Differential Equations in Finance
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• Reflected backward stochastic differential equations with jumps
• Reflected backward stochastic differential equation with jumps and locally Lipschitz coefficient
• Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Reflected backward stochastic differential equations driven by Lévy processes
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier

Cited In (14)

• Reflected backward stochastic differential equations driven by Lévy processes
• \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
• 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
• 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
• Reflected generalized backward doubly SDEs driven by Lévy processes and applications
• Forward-backward SDEs driven by Lévy process in stopping time duration
• On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
• A class of RBSDEs driven by Lévy processes
• Linear quadratic stochastic optimal control of forward backward stochastic control system associated with Lévy process
• 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

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