Multi-dimensional backward stochastic differential equations with one reflecting lower barrier of Itô diffusion type

DOI10.1016/J.BULSCI.2010.06.003zbMATH Open1205.60118OpenAlexW2006383582MaRDI QIDQ616305FDOQ616305

Authors: Juliang Yin 

Publication date: 7 January 2011

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.bulsci.2010.06.003

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zbMATH Keywords

penalizationreflected backward stochastic differential equationsadapted solutionhigher moment estimates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Title not available (Why is that?)
• Reflected BSDEs and mixed game problem
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• 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
• Title not available (Why is that?)
• Backward stochastic differential equations with reflection and weak assumptions on the coefficients
• Representations and regularities for solutions to BSDEs with reflections
• A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations

Cited In (1)

• Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection

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