Reflected backward stochastic differential equations with time delayed generators

DOI10.1016/J.SPL.2012.02.012MaRDI QIDQ433591zbMATH OpenOpenAlexFDO

Authors Yong Ren, Qing Zhou

Publication date 5 July 2012

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

Full work available at URL https://doi.org/10.1016/j.spl.2012.02.012

zbMATH Keywords

fixed point theoremreflected backward stochastic differential equationtime delayed generator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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• Backward Stochastic Differential Equations in Finance
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• Backward stochastic differential equations with reflection and Dynkin games
• 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
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
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• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Reflected BSDE's with discontinuous barrier and application
• Reflected BSDEs and mixed game problem
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Reflected forward-backward SDEs and obstacle problems with boundary conditions
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Zero-sum stochastic differential games and backward equations

Cited in

(13)

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• 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
• BSDEs and SDEs with time-advanced and -delayed coefficients
• Time-delayed generalized BSDEs
• \(L^p\)-solutions for reflected BSDEs with time delayed generators
• Reflected and doubly reflected backward stochastic differential equations with time-delayed generators

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