Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process (Q6105320)

scientific article; zbMATH DE number 7693663

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English	Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process	scientific article; zbMATH DE number 7693663

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instance of

scholarly article

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title

Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process (English)

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author

Mohamed Marzougue

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published in

Bulletin des Sciences Mathématiques

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publication date

9 June 2023

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full work available at URL

https://arxiv.org/abs/2107.05100

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zbMATH Keywords

reflected backward doubly stochastic differential equations

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Lévy process

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irregular barrier

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penalization method

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MaRDI profile type

MaRDI publication profile

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cites work

Adapted solution of a backward stochastic differential equation

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Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients

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Finite and infinite time interval of BDSDEs driven by Lévy processes

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Backward doubly stochastic differential equation driven by Lévy process: a comparison theorem

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Backward doubly stochastic differential equations with stochastic Lipschitz condition

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Lp-Solutions of backward doubly stochastic differential equations with stochastic Lipschitz condition and p ∈ (1,2)

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Backward doubly SDEs with continuous and stochastic linear growth coefficients

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Q2978454

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BDSDE with Poisson jumps under stochastic Lipschitz and linear growth conditions

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One barrier reflected backward doubly stochastic differential equations with continuous generator

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Reflected backward doubly stochastic differential equations driven by a Lévy process

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Reflected backward doubly stochastic differential equations with discontinuous generator

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Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs

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Reflected backward doubly stochastic differential equations driven by a Lévy process with stochastic Lipschitz condition

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One barrier reflected backward doubly stochastic differential equations with discontinuous monotone coefficients

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

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Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale

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Reflected BSDEs with optional barrier in a general filtration

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Optimal stopping with \(f\)-expectations: the irregular case

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Reflected BSDEs with regulated trajectories

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A note on optional Snell envelopes and reflected backward SDEs

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BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient

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Predictable solution for reflected BSDEs when the obstacle is not right-continuous

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BSDEs driven by normal martingale

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Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions

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Reflected backward stochastic differential equation with jumps and RCLL obstacle

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Reflected Backward SDEs with General Jumps

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Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier

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BSDEs under partial information and financial applications

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BSDEs driven by Lévy process with enlarged filtration and applications in finance

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Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

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Q4888858

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Chaotic and predictable representations for Lévy processes.

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Identifiers

arXiv ID

2107.05100

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DOI

10.1016/j.bulsci.2023.103282

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6105320