RBSDEs with optional barriers: monotone approximation

DOI10.3934/PUQR.2022005zbMath1498.60200OpenAlexW4312650799MaRDI QIDQ2165734

Astrid Hilbert, Siham Bouhadou, Youssef Ouknine

Publication date: 22 August 2022

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2022005

zbMATH Keywords

comparison principle\(g\)-expectationmonotone approximationreflected backward stochastic differential equationoptional barrier

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal stopping time problem in a general framework
• Representation of the penalty term of dynamic concave utilities
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
• BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• 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 backward stochastic differential equation with jumps and random obstacle
• Optimal stopping with \(f\)-expectations: the irregular case
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Reflected BSDEs with regulated trajectories
• BSDEs with jumps, optimization and applications to dynamic risk measures
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Reflected Backward SDEs with General Jumps
• Reflected BSDE's with discontinuous barrier and application
• Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem
• Dynkin games in a general framework

This page was built for publication: RBSDEs with optional barriers: monotone approximation