Reflections on BSDEs (Q6545184)

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scientific article; zbMATH DE number 7854763

Language	Label	Description	Also known as
English	Reflections on BSDEs	scientific article; zbMATH DE number 7854763

Statements

scholarly article

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Reflections on BSDEs (English)

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Dylan Possamaï

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Marco A. M. Rodrigues

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Electronic Journal of Probability

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publication date

29 May 2024

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zbMATH Keywords

backward stochastic differential equations

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general filtrations

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reflections

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MaRDI profile type

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A trajectorial interpretation of Doob's martingale inequalities

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

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Generalized BSDE and reflected BSDE with random time horizon

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Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies

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Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration

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Reflected BSDEs when the obstacle is not right-continuous in a general filtration

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Reflected BSDEs with optional barrier in a general filtration

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Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous

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Backward stochastic differential equations and integral-partial differential equations

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Quadratic reflected BSDEs with unbounded obstacles

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On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples

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Conjugate convex functions in optimal stochastic control

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A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations

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RBSDEs with optional barriers: monotone approximation

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Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs

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Donsker-type theorem for BSDEs

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On the robustness of backward stochastic differential equations.

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Donsker-type theorem for BSDEs: rate of convergence

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Backward Stochastic Differential Equations Driven By Càdlàg Martingales

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BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

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Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

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A general theory of finite state backward stochastic difference equations

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Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations

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Existence, uniqueness and comparisons for BSDEs in general spaces

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Stochastic Calculus and Applications

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Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control

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Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison

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Backward stochastic differential equations with reflection and Dynkin games

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Dynamic programming approach to principal-agent problems

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Backwards SDE with random terminal time and applications to semilinear elliptic PDE

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Stochastic Differential Utility

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Dynamic Programming Conditions for Partially Observable Stochastic Systems

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On stochastic control for time changed Lévy dynamics

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Generalized Dynkin games and doubly reflected BSDEs with jumps

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Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem

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Optimization of consumption with labor income

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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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Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth

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Optimal stopping of marked point processes and reflected backward stochastic differential equations

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OPTIONAL MARTINGALES

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

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Reflected BSDE's with discontinuous barrier and application

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Mixed Zero-Sum Stochastic Differential Game and American Game Options

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BSDEs with two reflecting barriers: the general result

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BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game

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Zero-sum stochastic differential games and backward equations

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Reflected backward stochastic differential equation with jumps and random obstacle

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Utility maximization in incomplete markets

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A characterization of solutions of quadratic BSDEs and a new approach to existence

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Calcul stochastique et problèmes de martingales

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Quadratic BSDEs with jumps: a fixed-point approach

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Second-order BSDEs with jumps: formulation and uniqueness

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Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs

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Quadratic BSDEs with jumps: Related nonlinear expectations

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Reflected BSDEs with monotone generator

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BSDEs with monotone generator and two irregular reflecting barriers

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Reflected BSDEs on filtered probability spaces

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Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games

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Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space

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Reflected BSDEs with regulated trajectories

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Reflected backward stochastic differential equations with two optional barriers

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Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique

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Optimal stopping time problem in a general framework

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Backward SDEs with two barriers and continuous coefficient: an existence result

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

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Sur l'int�grabilit� uniforme des martingales exponentielles

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Second order backward SDE with random terminal time

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Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver

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Reflected and doubly reflected BSDEs driven by RCLL martingales

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Robust superhedging with jumps and diffusion

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Existence and uniqueness results for BSDE with jumps: the whole nine yards

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Stability results for martingale representations: The general case

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Stability of backward stochastic differential equations: the general Lipschitz case

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Adapted solution of a backward stochastic differential equation

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles

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Reflected BSDE with a constraint and its applications in an incomplete market

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Optimal Stopping of BSDEs with Constrained Jumps and Related Zero-Sum Games

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Some norm estimates for semimartingales

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Backward stochastic Volterra integral equations with jumps in a general filtration

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Weak approximation of second-order BSDEs

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Stochastic control for a class of nonlinear kernels and applications

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BSDEs with jumps, optimization and applications to dynamic risk measures

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Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

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BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>

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Backward stochastic differential equations with jumps and related nonlinear expectations

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\(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition

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Quasi-sure stochastic analysis through aggregation

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Wellposedness of second order backward SDEs

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Solvability of backward stochastic differential equations with quadratic growth

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Backward Stochastic Differential Equations

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Identifiers

10.1214/24-ejp1123

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6545184

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