Reflected backward stochastic differential equations driven by Lévy processes

DOI10.1016/J.SPL.2007.03.036zbMath1128.60048OpenAlexW2270755899MaRDI QIDQ2462078

Lanying Hu, Yong Ren

Publication date: 23 November 2007

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

Full work available at URL: https://doi.org/10.1016/j.spl.2007.03.036

zbMATH Keywords

Lévy processTeugels martingalereflected backward stochastic differential equationSnell envelope

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (15)

Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition ⋮ Reflected backward stochastic differential equations with perturbations ⋮ Reflected generalized BSDEs with random time and applications ⋮ Irregular barrier reflected BSDEs driven by a Lévy process ⋮ Doubly reflected BSDEs driven by a Lévy process ⋮ Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process ⋮ A general comparison theorem for reflected BSDEs ⋮ A note on the doubly reflected backward stochastic differential equations driven by a Lévy process ⋮ Reflected backward doubly stochastic differential equations driven by a Lévy process ⋮ Reflected and doubly reflected BSDEs for Lévy processes: solutions and comparison ⋮ Anticipated backward stochastic differential equations driven by the Teugels martingales ⋮ On solutions to backward stochastic partial differential equations for Lévy processes ⋮ Optimal stopping of marked point processes and reflected backward stochastic differential equations ⋮ Numerical Method for Reflected Backward Stochastic Differential Equations ⋮ REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• On solutions of backward stochastic differential equations with jumps and applications
• BSDE associated with Lévy processes and application to PDIE
• Reflected backward stochastic differential equation with jumps and random obstacle
• Chaotic and predictable representations for Lévy processes.
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Reflected BSDE's with discontinuous barrier and application
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

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