Irregular barrier reflected BSDEs driven by a Lévy process

DOI10.1080/07362994.2022.2079529zbMATH Open1515.60206OpenAlexW4281917070MaRDI QIDQ6135043FDOQ6135043

Authors: Mohamed Marzougue, Mohamed El Otmani 

Publication date: 25 July 2023

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

Full work available at URL: https://doi.org/10.1080/07362994.2022.2079529

Recommendations

• Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
• BSDE with rcll reflecting barrier driven by a Lévy process
• scientific article; zbMATH DE number 7663597
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Reflected BSDE driven by a Lévy process
• Reflected BSDE driven by a Lévy process with stochastic Lipschitz coefficient
• Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions
• Doubly reflected BSDEs driven by a Lévy process
• Reflected BSDE's with discontinuous barrier and application

zbMATH Keywords

optimal stopping problemreflected backward stochastic differential equationsirregular barrierLévy processmertens decompositionpredictable representation for Lévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Cites Work

• Title not available (Why is that?)
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Conjugate convex functions in optimal stochastic control
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations and integral-partial differential equations
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Title not available (Why is that?)
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Reflected backward SDEs with general jumps
• BSDE associated with Lévy processes and application to PDIE
• Chaotic and predictable representations for Lévy processes.
• Backward stochastic differential equations associated with Lévy processes and partial integro-differential equations
• Reflected backward stochastic differential equations with jumps
• Reflected backward stochastic differential equations driven by Lévy processes
• On comparison theorem and solutions of BSDEs for Lévy processess
• BSDE with rcll reflecting barrier driven by a Lévy process
• Reflected BSDE driven by a Lévy process
• Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison
• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
• Reflected BSDEs with optional barrier in a general filtration
• Reflected BSDEs with regulated trajectories
• Reflected BSDEs when the obstacle is not right-continuous in a general filtration
• Optimal stopping with \(f\)-expectations: the irregular case
• BSDEs driven by Lévy process with enlarged filtration and applications in finance
• BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient
• A note on optional Snell envelopes and reflected backward SDEs
• Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions
• Monotonic limit theorem for BSDEs with regulated trajectories
• Title not available (Why is that?)
• Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
• Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale
• Predictable solution for reflected BSDEs when the obstacle is not right-continuous

Cited In (2)

• Reflected BSDE driven by a Lévy process
• Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle

This page was built for publication: Irregular barrier reflected BSDEs driven by a Lévy process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6135043)