Monotonic limit theorem for BSDEs with regulated trajectories

DOI10.1016/j.spl.2021.109151zbMath1482.60078OpenAlexW3163493041MaRDI QIDQ2244479

Mohamed Marzougue

Publication date: 12 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109151

zbMATH Keywords

penalization methodreflected backward stochastic differential equationsmonotonic limit theoremregulated processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17)

Related Items (3)

Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ Irregular barrier reflected BSDEs driven by a Lévy process ⋮ Non-linear Dynkin games over split stopping times

Cites Work

• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• 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
• A note on optional Snell envelopes and reflected backward SDEs
• Optimal stopping with \(f\)-expectations: the irregular case
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• BSDEs with right upper-semicontinuous reflecting obstacle and stochastic Lipschitz coefficient
• Reflected BSDEs with regulated trajectories
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Predictable solution for reflected BSDEs when the obstacle is not right-continuous
• Reflected BSDEs when the obstacle is not right-continuous in a general filtration
• Backward Stochastic Differential Equations in Finance
• Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale

This page was built for publication: Monotonic limit theorem for BSDEs with regulated trajectories