Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs

DOI10.1155/JAMSA.2005.37zbMath1076.60048MaRDI QIDQ2387496

N. Harraj, Isabelle Turpin, Youssef Ouknine

Publication date: 5 September 2005

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/51857

zbMATH Keywords

backward stochastic differential equationobstacle problemreflected BSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Integro-partial differential equations (45K05)

Related Items (8)

Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type ⋮ Reflected backward stochastic differential equation with jumps and viscosity solution of second order integro-differential equation without monotonicity condition: case with the measure of Lévy infinite ⋮ Viscosity solutions of second order integral-partial differential equations without monotonicity condition: A new result ⋮ Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient ⋮ The obstacle problem for quasilinear stochastic integral-partial differential equations ⋮ Doubly reflected BSDEs driven by a Lévy process ⋮ A note on the doubly reflected backward stochastic differential equations driven by a Lévy process ⋮ Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach

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