Reflected BSDE with a constraint and its applications in an incomplete market
DOI10.3150/09-BEJ227zbMATH Open1284.60120OpenAlexW2003941024MaRDI QIDQ637071FDOQ637071
Authors: Shige Peng, Mingyu Xu 
Publication date: 2 September 2011
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3150/09-bej227
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reflected backward stochastic differential equationbackward stochastic differential equation with a constraint
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)
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Cited In (24)
- Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients
- Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
- Backward doubly-stochastic differential equations with mean reflection
- BSDEs with mean reflection
- Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
- Generalized BSDE and reflected BSDE with random time horizon
- A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
- Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus
- Quadratic BSDEs with mean reflection
- \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
- A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times
- BSDEs with monotone generator and two irregular reflecting barriers
- On Z-mean reflected BSDEs
- Stochastic control representations for penalized backward stochastic differential equations
- \(L^p\) solution of reflected BSDEs with one continuous barrier and quasi-linear growth generators
- BSDEs with mean reflection driven by \(G\)-Brownian motion
- Multi-dimensional BSDEs with mean reflection
- \(L^p\)-estimates of solutions of backward doubly stochastic differential equations
- The adapted solutions and comparison theorem for anticipated backward stochastic differential equations with Poisson jumps under the weak conditions
- General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general \(g\)-supermartingales
- L p -solutions of backward doubly stochastic differential equations with time delayed generators
- Continuous dependence property of BSDE with constraints
- Reflections on BSDEs
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