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Reflected BSDEs in non-convex domains - MaRDI portal

Reflected BSDEs in non-convex domains (Q2159261)

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scientific article

Language	Label	Description	Also known as
English	Reflected BSDEs in non-convex domains	scientific article

Statements

scholarly article

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Reflected BSDEs in non-convex domains (English)

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Jean-François Chassagneux

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Sergey Nadtochiy

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publication date

28 July 2022

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full work available at URL

https://arxiv.org/abs/2102.06579

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zbMATH Keywords

backward stochastic differential equations

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reflection

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star-shaped domain

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MaRDI profile type

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Switching problems with controlled randomisation and associated obliquely reflected BSDEs

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Théorie probabiliste du contrôle des diffusions

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Backward stochastic differential equations on manifolds. II

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Formules de changement de variables

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A super-replication theorem in Kabanov's model of transaction costs

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A note on existence and uniqueness for solutions of multidimensional reflected BSDEs

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Discrete-time approximation of multidimensional BSDEs with oblique reflections

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Obliquely reflected backward stochastic differential equations

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Backward stochastic differential equations with reflection and Dynkin games

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Constructing gamma-martingales with prescribed limit, using backwards SDE

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Generalized Dynkin games and doubly reflected BSDEs with jumps

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Reflected solutions of backward SDE's, and related obstacle problems for PDE's

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Backward Stochastic Differential Equations in Finance

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Stochastic calculus in manifolds. With an appendix by P.A. Meyer

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Reflected backward stochastic differential equations with jumps in time-dependent random convex domains

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Endogenous Formation of Limit Order Books: Dynamics Between Trades

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Control-Stopping Games for Market Microstructure and Beyond

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Equations différentielles stochastiques rétrogrades réfléchies dans un convexe

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Reflected BSDEs when the obstacle is not right-continuous and optimal stopping

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Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case

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Switching problem and related system of reflected backward SDEs

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A stability approach for solving multidimensional quadratic BSDEs

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Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients

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Multi-dimensional BSDE with oblique reflection and optimal switching

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Multi-dimensional backward stochastic differential equations of diagonally quadratic generators

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Continuous exponential martingales and BMO

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Probability, Convexity, and Harmonic Maps with Small Image I: Uniqueness and Fine Existence

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Reflected BSDEs in time-dependent convex regions

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Systems of semilinear parabolic variational inequalities with time-dependent convex obstacles

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Stochastic differential equations with reflecting boundary conditions

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Finite-Horizon Optimal Multiple Switching with Signed Switching Costs

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Viscosity solutions for systems of parabolic variational inequalities

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Backward stochastic differential equations and applications to optimal control

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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Martingales on Riemannian manifolds with prescribed limit

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Barycenters and martingales on a manifold

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Solvability of backward stochastic differential equations with quadratic growth

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A class of globally solvable Markovian quadratic BSDE systems and applications

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Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S00440-022-01125-0

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Sitelinks

Mathematics(1 entry)

mardi Publication:2159261

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