RBSDEs with optional barriers: monotone approximation
From MaRDI portal
Publication:2165734
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
comparison principle\(g\)-expectationmonotone approximationreflected backward stochastic differential equationoptional barrier
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
