A note on the doubly reflected backward stochastic differential equations driven by a Lévy process

DOI10.1016/J.SPL.2010.01.001MaRDI QIDQ962029zbMATH OpenOpenAlexFDO

Authors Xiliang Fan, Yong Ren, Dongjin Zhu

Publication date 1 April 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.01.001

Mathematics Subject Classification ID

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

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Cites work

• Adapted solution of a backward stochastic differential equation
• 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 applications to optimal control
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Backward stochastic differential equations with reflection and Dynkin games
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• BSDEs with two reflecting barriers: the general result
• Chaotic and predictable representations for Lévy processes.
• Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1069627 (Why is no real title available?)
• scientific article; zbMATH DE number 1066321 (Why is no real title available?)
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Reflected backward stochastic differential equations driven by Lévy processes
• Reflected BSDEs and mixed game problem
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's

Cited in

(7)

• Doubly reflected backward stochastic differential equations in the predictable setting
• Reflected backward stochastic differential equations driven by Lévy processes
• A doubly reflected backward stochastic differential equation driven by a Lévy process
• Doubly reflected BSDEs driven by a Lévy process
• Reflected backward doubly stochastic differential equations driven by Teugels martingales associated to a Lévy process with discontinuous barrier
• Reflected backward doubly stochastic differential equations driven by a Lévy process
• Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison

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