Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
From MaRDI portal
Publication:957529
Abstract: It is now established that under quite general circumstances, including in models with jumps, the existence of a solution to a reflected BSDE is guaranteed under mild conditions, whereas the existence of a solution to a doubly reflected BSDE is essentially equivalent to the so-called Mokobodski condition. As for uniqueness of solutions, this holds under mild integrability conditions. However, for practical purposes, existence and uniqueness are not enough. In order to further develop these results in Markovian set-ups, one also needs a (simply or doubly) reflected BSDE to be well posed, in the sense that the solution satisfies suitable bound and error estimates, and one further needs a suitable comparison theorem. In this paper, we derive such estimates and comparison results. In the last section, applicability of the results is illustrated with a pricing problem in finance.
Recommendations
- Reflected backward SDEs with general jumps
- scientific article; zbMATH DE number 5812589
- \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
- Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison
- Backward stochastic differential equations with reflection and weak assumptions on the coefficients
Cites work
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 3727272 (Why is no real title available?)
- scientific article; zbMATH DE number 19574 (Why is no real title available?)
- scientific article; zbMATH DE number 1066321 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- About the pricing equations in finance
- BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
- Backward SDEs with two barriers and continuous coefficient: an existence result
- Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps
- Backward stochastic differential equations and integral-partial differential equations
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Backward stochastic differential equations with reflection and Dynkin games
- Backwards SDE with random terminal time and applications to semilinear elliptic PDE
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Calcul stochastique et problèmes de martingales
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
- Convertible bonds in a defaultable diffusion model
- Defaultable game options in a hazard process model
- Defaultable options in a Markovian intensity model of credit risk
- Mixed Zero-Sum Stochastic Differential Game and American Game Options
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- PDE approach to valuation and hedging of credit derivatives
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
- Reflected backward stochastic differential equation with jumps and random obstacle
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Stochastic Integration with Jumps
- Weak convergence of financial markets.
Cited in
(67)- Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
- Reflections on BSDEs
- Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching
- On the compensator in the Doob-Meyer decomposition of the Snell envelope
- Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies
- Near-optimal control problems for forward-backward regime-switching systems
- Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
- Infinite horizon reflected backward stochastic differential equations with Markov chains
- Two-player zero-sum stochastic differential games with regime switching and corresponding Hamilton-Jacobi-Bellman-Isaacs' equations
- Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
- A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
- BSDEs with regime switching: weak convergence and applications
- The obstacle problem for semilinear parabolic partial integro-differential equations
- Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
- Optimal stopping with \(f\)-expectations: the irregular case
- Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles
- Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections
- Strong Snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale
- Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient
- Optimal stopping of marked point processes and reflected backward stochastic differential equations
- American options in nonlinear markets
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
- American options in an imperfect complete market with default
- Backward SDE representation for stochastic control problems with nondominated controlled intensity
- Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
- Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison
- \(L^p\) solution of backward stochastic differential equations driven by a marked point process
- Doubly reflected backward stochastic differential equations in the predictable setting
- \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method
- Double barrier reflected BSDEs with stochastic Lipschitz coefficient
- On solutions to backward stochastic partial differential equations for Lévy processes
- RBSDEs with optional barriers: monotone approximation
- Optimal control of semi-Markov processes with a backward stochastic differential equations approach
- Second-order BSDEs with jumps: formulation and uniqueness
- Fully coupled forward-backward stochastic differential equations on Markov chains
- Backward stochastic differential equations with Markov chains and associated PDEs
- Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
- Second-order BSDEs with general reflection and game options under uncertainty
- Viscosity solutions of path-dependent integro-differential equations
- Defaultable options in a Markovian intensity model of credit risk
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications
- The stochastic maximum principle for relaxed control problem with regime-switching
- Defaultable game options in a hazard process model
- Game options in an imperfect market with default
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
- Multi-valued backward stochastic differential equations with regime switching
- Reflected BSDEs with optional barrier in a general filtration
- The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem
- Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
- Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
- \(\mathbb{L}^{p}\) solutions of reflected backward stochastic differential equations with jumps
- Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
- Reflected backward stochastic differential equations with time delayed generators
- Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
- Asymptotic expansion for forward-backward SDEs with jumps
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- Mean reflected stochastic differential equations with jumps
- Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
- Doubly reflected BSDEs driven by a Lévy process
- Portfolio selection with regime-switching and state-dependent preferences
- Backward stochastic differential equations with regime-switching and sublinear expectations
- A general comparison theorem for reflected BSDEs
- Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
- Bilateral counterparty risk under funding constraints. II: CVA
- Reflected BSDEs when the obstacle is not right-continuous in a general filtration
- Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
- About the pricing equations in finance
This page was built for publication: Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q957529)
