Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
From MaRDI portal
Publication:6540653
Recommendations
- Two-barriers reflected backward doubly SDEs beyond right continuity
- Reflected backward stochastic differential equations with two RCLL barriers
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- A generalized existence theorem of reflected BSDEs with double obstacles
- BSDEs with two RCLL reflecting barriers driven by a Lévy process
Cites work
- scientific article; zbMATH DE number 3897934 (Why is no real title available?)
- scientific article; zbMATH DE number 3907486 (Why is no real title available?)
- scientific article; zbMATH DE number 3907487 (Why is no real title available?)
- scientific article; zbMATH DE number 3696195 (Why is no real title available?)
- scientific article; zbMATH DE number 3740439 (Why is no real title available?)
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 18205 (Why is no real title available?)
- scientific article; zbMATH DE number 18206 (Why is no real title available?)
- scientific article; zbMATH DE number 18209 (Why is no real title available?)
- scientific article; zbMATH DE number 679796 (Why is no real title available?)
- scientific article; zbMATH DE number 1069627 (Why is no real title available?)
- scientific article; zbMATH DE number 1066313 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- Adapted solution of a backward stochastic differential equation
- American options with asymmetric information and reflected BSDE
- BSDEs driven by Lévy process with enlarged filtration and applications in finance
- BSDEs with jumps and two completely separated irregular barriers in a general filtration
- BSDEs with monotone generator and two irregular reflecting barriers
- BSDEs with two RCLL reflecting barriers driven by a Lévy process
- BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
- BSDEs with two reflecting barriers: the general result
- Backward Stochastic Differential Equations Driven By Càdlàg Martingales
- Backward stochastic differential equations with reflection and Dynkin games
- Backward stochastic differential equations with respect to general filtrations and applications to insider finance
- Double barrier reflected BSDEs with stochastic Lipschitz coefficient
- Doubly reflected BSDEs driven by a Lévy process
- Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
- Game options
- Generalized Dynkin games and doubly reflected BSDEs with jumps
- Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
- Mixed Zero-Sum Stochastic Differential Game and American Game Options
- Multi-dimensional BSDE with oblique reflection and optimal switching
- On the Starting and Stopping Problem: Application in Reversible Investments
- Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
- Properties of game options
- Reflected BSDE's with discontinuous barrier and application
- Reflected BSDEs and mixed game problem
- Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
- Reflected backward SDEs with general jumps
- Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Semi-martingales et grossissement d'une filtration
- The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
Cited in
(4)- Doubly reflected generalized BSDEs with two completely separated RCLL barriers in a general filtration
- Generalized Dynkin games and doubly reflected BSDEs driven by RCLL martingales
- Pricing game options in financial markets with default: a doubly reflected BSDEs approach
- Applications of doubly reflected BSDEs driven by RCLL martingales to Dynkin games and American game options
This page was built for publication: Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6540653)
