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

DOI10.1016/J.BULSCI.2010.06.003MaRDI QIDQ616305zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1016795 (Why is no real title available?)
• scientific article; zbMATH DE number 1069627 (Why is no real title available?)
• A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Backward stochastic differential equations with reflection and weak assumptions on the coefficients
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Reflected BSDEs and mixed game problem
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Representations and regularities for solutions to BSDEs with reflections
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications

Cited in

(1)

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

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