Reflected BSDE driven by a Lévy process
From MaRDI portal
Publication:842401
DOI10.1007/s10959-009-0229-3zbMath1179.60041MaRDI QIDQ842401
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
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H20: Stochastic integral equations
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Zero-sum stochastic differential games and backward equations
- Backward stochastic differential equations with reflection and Dynkin games
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Reflected BSDEs and mixed game problem
- BSDE associated with Lévy processes and application to PDIE
- Reflected backward stochastic differential equation with jumps and random obstacle
- Chaotic and predictable representations for Lévy processes.
- Reflected backward stochastic differential equation with jumps and RCLL obstacle
- The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Backward stochastic differential equations and integral-partial differential equations
- Backward Stochastic Differential Equations in Finance
- Reflected BSDE's with discontinuous barrier and application
- Financial Modelling with Jump Processes
- Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
