Backward stochastic differential equations with reflection and Dynkin games
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Cites work
- scientific article; zbMATH DE number 3740439 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 3504682 (Why is no real title available?)
- scientific article; zbMATH DE number 3538599 (Why is no real title available?)
- scientific article; zbMATH DE number 934464 (Why is no real title available?)
- scientific article; zbMATH DE number 3209538 (Why is no real title available?)
- Adapted solution of a backward stochastic differential equation
- Dynkin games and martingale methods
- Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
- Nonlinear variational inequalities and differential games with stopping times
- PDE solutions of stochastic differential utility
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Sur un problème de dynkin
- Zero-sum Markov games with stopping and impulsive strategies
Cited in
(only showing first 100 items - show all)- A Dynkin game under Knightian uncertainty
- Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
- Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
- Mean-field doubly reflected backward stochastic differential equations
- Discounted optimal stopping problems in continuous hidden Markov models
- Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
- Reflected backward stochastic differential equations driven by \(G\)-Brownian motion under monotonicity condition
- BSDEs with jumps and two completely separated irregular barriers in a general filtration
- Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
- Second-order BSDEs with general reflection and game options under uncertainty
- \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
- Reflected backward stochastic differential equations with time delayed generators
- Reflected BSDE with a constraint and its applications in an incomplete market
- Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
- A fully quantization-based scheme for FBSDEs
- Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients
- The Dynkin game with regime switching and applications to pricing game options
- A generalized existence theorem of reflected BSDEs with double obstacles
- Quasilinear stochastic PDEs with two obstacles: probabilistic approach
- Dynkin game under \(g\)-expectation in continuous time
- Dynkin game with asymmetric information
- Dynkin games in a general framework
- Reflected backward stochastic differential equations in an orthant
- Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
- Endogenous formation of limit order books: dynamics between trades
- Solving the double barrier reflected BSDEs via penalization method
- Lp-Solutions for Doubly Reflected Backward Stochastic Differential Equations
- Application of doubly reflected BSDEs to an impulse control problem
- A note on the doubly reflected backward stochastic differential equations driven by a Lévy process
- Doubly reflected backward stochastic differential equations in the predictable setting
- A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria
- Quadratic BSDEs with two reflecting barriers and a square integrable terminal value
- Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
- Reflected BSDEs with regulated trajectories
- Backward doubly-stochastic differential equations with mean reflection
- BSDEs with mean reflection
- Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
- Reflected BSDEs with general filtration and two completely separated barriers
- Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
- Backward stochastic differential equations with constraints on the gains-process
- Some results on reflected forward-backward stochastic differential equations
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- Mixed zero-sum stochastic differential game and doubly reflected BSDEs with a specific generator
- Infinite horizon reflected backward stochastic differential equations with Markov chains
- One dimensional reflected BSDEs with two barriers under logarithmic growth and applications
- BSDE approach for Dynkin game and American game option
- Dynkin games with Poisson random intervention times
- Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
- The multi-player nonzero-sum Dynkin game in discrete time
- Reflected backward stochastic differential equations with two RCLL barriers
- Dynkin game of convertible bonds and their optimal strategy
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
- Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty
- Reflected BSDE driven by a Lévy process
- Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison
- Stochastic recursive zero-sum differential game and mixed zero-sum differential game problem
- Defaultable game options in a hazard process model
- Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
- Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps
- Nonzero-sum games of optimal stopping for Markov processes
- Obliquely reflected backward stochastic differential equations
- Nash equilibrium payoffs for stochastic differential games with two reflecting barriers
- On the finite horizon optimal switching problem with random lag
- Switching problems with controlled randomisation and associated obliquely reflected BSDEs
- 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 driven by a Brownian and a Poisson noise and related Dynkin game
- Defaultable options in a Markovian intensity model of credit risk
- Backward-forward SDE's and stochastic differential games
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
- On the equality of solutions of max-min and min-max systems of variational inequalities with interconnected bilateral obstacles
- Nash equilibria of threshold type for two-player nonzero-sum games of stopping
- Stochastic differential games with reflection and related obstacle problems for Isaacs equations
- Reflected BSDE's with discontinuous barrier and time delayed generators
- Zero-sum Markov games with impulse controls
- Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- Reflected backward stochastic differential equations with two barriers and Dynkin games under Knightian uncertainty
- Two-player nonzero-sum stopping games in discrete time.
- Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient
- Dynamic programming approach to reflected backward stochastic differential equations
- Quadratic BSDEs with mean reflection
- Doubly reflected BSDEs driven by a Lévy process
- Pricing Israeli options: a pathwise approach
- On solutions to backward stochastic partial differential equations for Lévy processes
- Partially observed mean-field game and related mean-field forward-backward stochastic differential equation
- Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
- Quadratic mean-field reflected BSDEs
- On the quasi-linear reflected backward stochastic partial differential equations
- A two-mode mean-field optimal switching problem for the full balance sheet
- Anticipated backward stochastic differential equations
- Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- Doubly reflected BSDEs with integrable parameters and related Dynkin games
- Backward stochastic variational inequalities on random interval
- Representations and regularities for solutions to BSDEs with reflections
- Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
- Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition
- Sequential systems of reflected backward stochastic differential equations with application to impulse control
- Control-stopping games for market microstructure and beyond
- \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions
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