Double barrier reflected BSDEs with stochastic Lipschitz coefficient

DOI10.15559/17-VMSTA90zbMath1382.60083arXiv1801.01016OpenAlexW3100031055MaRDI QIDQ1697203

Mohamed Marzougue, Mohamed El Otmani

Publication date: 15 February 2018

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.01016

zbMATH Keywords

BSDE and reflected BSDEstochastic Lipschitz coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

Related Items (7)

Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient ⋮ On the stochastic control-stopping problem ⋮ Unnamed Item ⋮ Irregular barrier reflected BDSDEs with general jumps under stochastic Lipschitz and linear growth conditions ⋮ A framework of BSDEs with stochastic Lipschitz coefficients ⋮ REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS ⋮ Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process

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