Reflected backward stochastic differential equations with two optional barriers

DOI10.1016/j.bulsci.2019.102820zbMath1471.60088arXiv1810.07969OpenAlexW2989545496WikidataQ126836382 ScholiaQ126836382MaRDI QIDQ2287838

Tomasz Klimsiak, Maurycy Rzymowski, Leszek Slominski

Publication date: 21 January 2020

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.07969

zbMATH Keywords

reflected backward stochastic differential equationoptional barriersprocesses with regulated trajectoriesmodified penalization method

Mathematics Subject Classification ID

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

Related Items (6)

Backward stochastic differential equations with mean reflection and two constraints ⋮ Unnamed Item ⋮ Backward stochastic differential equations with two barriers and generalized reflection ⋮ Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Unnamed Item ⋮ Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space

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