Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem

DOI10.1142/S0219493721500490MaRDI QIDQ5021120zbMATH OpenOpenAlexFDO

Authors Youssef Ouknine, S. Bouhadou

Publication date 12 January 2022

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219493721500490

zbMATH Keywords

no quasi-left-continuous filtrationoptimal stoppingpredictable Snell envelopepredictable supermartingalereflected backward stochastic differential equation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cited in

(11)

• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
• Doubly reflected backward stochastic differential equations in the predictable setting
• RBSDEs with optional barriers: monotone approximation
• Optimal stopping with f-expectations: the irregular case
• Predictable solution for reflected BSDEs when the obstacle is not right-continuous
• Irregular barrier reflected BSDEs driven by a Lévy process
• Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
• Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies
• Reflected BSDEs with default time and irregular obstacles
• On reflected BSDEs with jumps and default time
• Reflected BSDEs driven by RCLL martingales with stochastic Lipschitz coefficient in a general filtration: analysis and applications

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