Reflected backward stochastic differential equations with time-delayed generators

DOI10.1515/ROSE-2018-0002MaRDI QIDQ1743324zbMATH OpenOpenAlexFDO

Authors Navegué Tuo, Harouna Coulibaly, Auguste Aman

Publication date 13 April 2018

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2018-0002

zbMATH Keywords

stopping timecomparison theorempenalization methodreflected backward stochastic differential equationstime-delayed generator

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Recommendations

• Reflected backward stochastic differential equations with time delayed generators
• Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
• Reflected backward doubly stochastic differential equations with time delayed generators
• Backward stochastic differential equations with time delayed generators -- results and counterexamples
• Forward–backward stochastic differential equations with delay generators
• Multivalued backward stochastic differential equations with time delayed generators
• Reflected backward doubly stochastic differential equations with discontinuous generator
• Generalized reflected backward stochastic differential equations
• Reflected backward stochastic differential equations with perturbations
• Backward stochastic evolution equations with time delay generators in Hilbert spaces

Cites work

• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
• Anticipated backward stochastic differential equations
• Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance
• Backward stochastic differential equations with time delayed generators -- results and counterexamples
• FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
• Optimal portfolio management with American capital guarantee
• Reflected backward stochastic differential equations with time delayed generators
• Reflected backward stochastic differential equations with time-delayed generators
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's

Cited in

(11)

• Reflected backward stochastic differential equations with time delayed generators
• Reflected BSDEs with time-delayed generators and nonlinear resistance
• Backward stochastic differential equations with non-Lipschitz time delayed generators
• Reflected backward stochastic differential equations with time-delayed generators
• Backward stochastic differential equations with time delayed generators -- results and counterexamples
• Reflected backward doubly stochastic differential equations with time delayed generators
• Reflected BSDE's with discontinuous barrier and time delayed generators
• Backward stochastic evolution equations with time delay generators in Hilbert spaces
• Backward stochastic Volterra integral equations with time delayed generators
• \(L^p\)-solutions for reflected BSDEs with time delayed generators
• Reflected and doubly reflected backward stochastic differential equations with time-delayed generators

This page was built for publication: Reflected backward stochastic differential equations with time-delayed generators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1743324)