BSDEs with two RCLL reflecting barriers driven by a Lévy process

MaRDI QIDQ5882297zbMATH OpenFDO

Authors Mohamed El Otmani, M. El Jamali, Mohamed Marzougue

Publication date 15 March 2023

Full work available at URL http://www.jnmas.org/jnmas13-1.pdf

zbMATH Keywords

doubly reflected BSDEsLévy processright continuous with left limited (RCLL) barrierstochastic Lipschitzian coefficient

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cited in

(7)

• BSDEs with two reflecting barriers: the general result
• Generalized BSDE with two reflecting barriers
• Irregular barrier reflected BSDEs driven by a Lévy process
• Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
• Penalization method for doubly reflected generalized BSDEs with general filtration and RCLL barriers
• Contributions to American game options and PDEs in the context of doubly reflected BSDEs driven by normal martingales
• Applications of doubly reflected BSDEs driven by RCLL martingales to Dynkin games and American game options

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