Reflected backward stochastic differential equations with two RCLL barriers
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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 equations with reflection and Dynkin games
- scientific article; zbMATH DE number 3740439 (Why is no real title available?)
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Reflected BSDE's with discontinuous barrier and application
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Sur un problème de dynkin
- The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
Cited in
(34)- Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
- [[:Publication:1722018|Doubly reflected BSDEs and \(\mathcal{E} ^Template:F\)-Dynkin games: beyond the right-continuous case]]
- Optimal stopping of marked point processes and reflected backward stochastic differential equations
- Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
- Two-barriers reflected backward doubly SDEs beyond right continuity
- RBSDEs with optional barriers: monotone approximation
- Reflected backward stochastic differential equations with two optional barriers
- Stochastic quadratic BSDE with two RCLL obstacles
- Obstacle problem for semilinear parabolic equations with measure data
- Reflected BSDEs with regulated trajectories
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Reflected backward SDEs with general jumps
- Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
- An existence theorem of BSDE with two reflecting barriers and discontinuous coefficient
- Numerical method for reflected backward stochastic differential equations
- Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
- Second-order BSDEs with general reflection and game options under uncertainty
- Reflected BSDEs on filtered probability spaces
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- The mixed zero-sum stochastic differential game in the model with jumps
- Reflected BSDEs with general filtration and two completely separated barriers
- Stochastic control representations for penalized backward stochastic differential equations
- Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers
- Backward Stochastic Differential Equation with Two Reflecting Barriers and Jumps
- Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
- Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
- Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
- Generalized Dynkin games and doubly reflected BSDEs driven by RCLL martingales
- Pricing game options in financial markets with default: a doubly reflected BSDEs approach
- Applications of doubly reflected BSDEs driven by RCLL martingales to Dynkin games and American game options
- Non-Markovian optimal switching control for hybrid renewable energy systems
- Stochastic zero-sum switching game problem with execution delay
- BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
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