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

DOI10.1214/21-EJP655zbMath1480.60160arXiv2001.06736MaRDI QIDQ2042776

Tomasz Klimsiak, Maurycy Rzymowski

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.06736

zbMATH Keywords

Dynkin gamesreflected backward stochastic differential equationnonlinear expectationoptional barriersprocesses with regulated trajectories

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Unnamed Item ⋮ Non-linear Dynkin games over split stopping times

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• BSDEs with monotone generator and two irregular reflecting barriers
• Stochastic representation of entropy solutions of semilinear elliptic obstacle problems with measure data
• Reflected BSDEs on filtered probability spaces
• Backward stochastic differential equations with reflection and Dynkin games
• \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition
• Doubly reflected BSDEs with integrable parameters and related Dynkin games
• BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
• Reflected BSDEs with optional barrier in a general filtration
• Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
• Reflected backward stochastic differential equation with jumps and random obstacle
• Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
• Reflected backward stochastic differential equations with two optional barriers
• Optimal stopping with \(f\)-expectations: the irregular case
• BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient
• Reflected BSDEs with regulated trajectories
• Systems of quasi-variational inequalities related to the switching problem
• Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
• Reflected Backward SDEs with General Jumps
• Reflected BSDEs when the obstacle is not right-continuous in a general filtration
• Concrete Functional Calculus
• Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
• Sur un problème de dynkin
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
• Reflected BSDE's with discontinuous barrier and application
• L^p-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
• Reflected backward stochastic differential equations with two RCLL barriers
• [https://portal.mardi4nfdi.de/wiki/Publication:5646185 Th�orie des processus stochastiques g�n�raux applications aux surmartingales]

This page was built for publication: Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space