Reflected BSDE driven by a Lévy process

DOI10.1007/S10959-009-0229-3zbMATH Open1179.60041OpenAlexW2001421475MaRDI QIDQ842401FDOQ842401

Authors: Mohamed El Otmani 

Publication date: 25 September 2009

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-009-0229-3

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• Reflected backward stochastic differential equations driven by a Lévy process
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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Cites Work

• Financial Modelling with Jump Processes
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Backward Stochastic Differential Equations in Finance
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• Backward stochastic differential equations and integral-partial differential equations
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• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Reflected BSDE's with discontinuous barrier and application
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Reflected BSDEs and mixed game problem
• Zero-sum stochastic differential games and backward equations
• BSDE associated with Lévy processes and application to PDIE
• Chaotic and predictable representations for Lévy processes.
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Title not available (Why is that?)

Cited In (14)

• Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
• Irregular barrier reflected BSDEs driven by a Lévy process
• BSDE with rcll reflecting barrier driven by a Lévy process
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
• Reflected BSDE driven by a Lévy process with stochastic Lipschitz coefficient
• Generalized BSDE driven by a Lévy process
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
• Optimal stopping of marked point processes and reflected backward stochastic differential equations
• BSDEs with two RCLL reflecting barriers driven by a Lévy process
• Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process
• A class of RBSDEs driven by Lévy processes
• PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS
• Reflected backward stochastic differential equations driven by a Lévy process

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