Reflected BSDE and Reflected PDIE

DOI10.1081/SAP-120030446MaRDI QIDQ3158158zbMATH OpenFDO

Authors Youssef Ouknine, M. Hassani

Publication date 20 January 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/SAP-120030446

zbMATH Keywords

integro-partial differential equationmultidimensional reflected backward stochastic differential equation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Integro-partial differential equations (45K05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations and integral-partial differential equations
• On solutions of backward stochastic differential equations with jumps and applications

Cited in

(15)

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected backward stochastic differential equations with perturbations
• Obliquely reflected backward stochastic differential equations
• Reflected backward stochastic differential equation with rank-based data
• Reflected backward stochastic partial differential equations in a convex domain
• Reflected BSDEs in time-dependent convex regions
• Reflected forward-backward stochastic differential equations and related PDEs
• Two-dimensional BSDE's with oblique reflection and systems of reflected PDE's of nonlinear parabolic type
• Generalized reflected backward stochastic differential equations
• Reflected generalized BSDEs with random time and applications
• On the quasi-linear reflected backward stochastic partial differential equations
• Stochastic control representations for penalized backward stochastic differential equations
• Adapted solution of a reflected nonlinear backward stochastic differential equation
• PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS
• Reflected backward stochastic differential equations in an orthant

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