Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis

DOI10.1016/J.BULSCI.2010.03.001zbMath1208.60056OpenAlexW2003546599MaRDI QIDQ616310

Mohammed Hassani, Youssef Ouknine, Said Hamadène

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.2010.03.001

zbMATH Keywords

backward stochastic differential equationsreflecting barriers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99)

Related Items (21)

Solving the double barrier reflected BSDEs via penalization method ⋮ Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient ⋮ Infinite horizon impulse control problem with jumps and continuous switching costs ⋮ Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration ⋮ BSDEs with monotone generator and two irregular reflecting barriers ⋮ Backward stochastic differential equations with two barriers and generalized reflection ⋮ Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Reflected BSDEs with regulated trajectories ⋮ Multi-dimensional BSDEs with mean reflection ⋮ Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles ⋮ Reflected and doubly reflected backward stochastic differential equations with time-delayed generators ⋮ Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions ⋮ The Mixed Zero-Sum Stochastic Differential Game in the Model with Jumps ⋮ Reflected BSDEs in time-dependent convex regions ⋮ Dynkin games in a general framework ⋮ Reflected BSDEs with general filtration and two completely separated barriers ⋮ L^p-Solutions for Doubly Reflected Backward Stochastic Differential Equations ⋮ Stochastic quadratic BSDE with two RCLL obstacles ⋮ Doubly reflected backward stochastic differential equations in the predictable setting

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Backward stochastic differential equations with reflection and Dynkin games
• Valuation of power plants by utility indifference and numerical computation
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Defaultable game options in a hazard process model
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected BSDEs and mixed game problem
• BSDEs with two reflecting barriers: the general result
• Reflected backward stochastic differential equation with jumps and random obstacle
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Reflected BSDE's with discontinuous barrier and application
• Backward SDEs with two barriers and continuous coefficient: an existence result
• On the Starting and Stopping Problem: Application in Reversible Investments
• Reflected backward stochastic differential equations with two RCLL barriers
• Game options

This page was built for publication: Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis