Reflected BSDEs with time-delayed generators and nonlinear resistance

DOI10.1016/j.spl.2020.108765zbMath1460.60053OpenAlexW3013166637MaRDI QIDQ2006714

Peng Luo

Publication date: 12 October 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108765

zbMATH Keywords

nonlinear resistancetime-delayed generatorsreflected BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (1)

Multi-dimensional BSDEs with mean reflection

Cites Work

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• Reflected backward stochastic differential equations with time delayed generators
• FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity
• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
• Backward stochastic differential equations with time delayed generators -- results and counterexamples
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected backward stochastic differential equations with resistance
• Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance

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