Backward stochastic differential equations with reflection and Dynkin games
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Cites work
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- scientific article; zbMATH DE number 51724 (Why is no real title available?)
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- 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)- scientific article; zbMATH DE number 7596554 (Why is no real title available?)
- BSDEs with monotone generator and two irregular reflecting barriers
- Reflected backward stochastic differential equation with rank-based data
- American options in nonlinear markets
- A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times
- Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
- Generalized BSDE with two reflecting barriers
- Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
- Reflected BSDEs in non-convex domains
- Dynkin's games and Israeli options
- An existence theorem for multidimensional BSDEs with mixed reflections
- Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers
- Numerical scheme for Dynkin games under model uncertainty
- Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
- Backward stochastic dynamics on a filtered probability space
- On the value of a time-inconsistent mean-field zero-sum Dynkin game
- Doubly reflected backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
- Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
- RBDSDEs with jumps and optional Barrier and mean field game with common noise
- Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
- Backward stochastic differential equations with mean reflection and two constraints
- Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles
- Reflected BSDEs with jumps in time-dependent convex càdlàg domains
- Optimal stopping games in models with various information flows
- Reflected BSDEs in time-dependent convex regions
- Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
- Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
- \(L^p\) solutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions
- A finite horizon optimal switching problem with memory and application to controlled SDDEs
- Multi-dimensional BSDEs with mean reflection
- Discounted optimal stopping problems in first-passage time models with random thresholds
- Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
- Stochastic impulse control of non-Markovian processes
- Backward stochastic differential equations with subdifferential operator and related variational inequalities
- The existence of game value for path-dependent stochastic differential game
- Law of large numbers under the nonlinear expectation
- Reflected BSDEs and mixed game problem
- Martingale approach to stochastic differential games of control and stopping
- Numerical methods for backward stochastic differential equations: a survey
- Anticipated Backward Stochastic Differential Equation with Reflection
- Reflected backward SDEs with general jumps
- Arbitrage-free pricing of multi-person game claims in discrete time
- Reflected BSDE of Wiener-Poisson type in time-dependent domains
- Backward stochastic differential equations with two barriers and generalized reflection
- Double barrier reflected BSDEs with stochastic Lipschitz coefficient
- Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
- Reflected backward stochastic differential equations with two optional barriers
- Game approach to the optimal stopping problem†
- Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations
- The finite horizon optimal multi-modes switching problem: the viscosity solution approach
- Callable convertible bonds under liquidity constraints and hybrid priorities
- Stochastic quadratic BSDE with two RCLL obstacles
- Game options in an imperfect market with default
- Discrete time stochastic multi-player competitive games with affine payoffs
- Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games
- Backward SDEs with two barriers and continuous coefficient: an existence result
- Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
- Infinite horizon impulse control problem with continuous costs, numerical solutions
- Numerical method for reflected backward stochastic differential equations
- A discrete-time approximation for doubly reflected BSDEs
- Mean-field reflected backward stochastic differential equations
- Generalized Snell envelope as a minimal solution of BSDE with lower barriers
- A zero-sum competitive multi-player game
- Reflections on BSDEs
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- A kind of stochastic recursive Zero-Sum differential game problem with double obstacles constraint
- Infinite horizon impulse control problem with jumps and continuous switching costs
- Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality
- Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies
- Reflected BSDEs with optional barrier in a general filtration
- Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
- [[:Publication:1722018|Doubly reflected BSDEs and \(\mathcal{E} ^Template:F\)-Dynkin games: beyond the right-continuous case]]
- 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
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