Reflected BSDEs in time-dependent convex regions

DOI10.1016/j.spa.2014.09.013zbMath1322.60089arXiv1307.2124OpenAlexW2006350855MaRDI QIDQ2512847

Tomasz Klimsiak, Andrzej Rozkosz, Leszek Slominski

Publication date: 30 January 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.2124

zbMATH Keywords

penalization methodreflected backward stochastic differential equationstime-dependent convex regions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Backward stochastic differential equations with mean reflection and two constraints ⋮ Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections ⋮ Reflected BSDEs in non-convex domains ⋮ Reflected backward stochastic differential equations with jumps in time-dependent random convex domains ⋮ Backward stochastic differential equations with two barriers and generalized reflection ⋮ Reflected BSDEs with regulated trajectories ⋮ Multi-dimensional BSDEs with mean reflection ⋮ Reflected BSDEs with jumps in time-dependent convex càdlàg domains ⋮ Systems of semilinear parabolic variational inequalities with time-dependent convex obstacles ⋮ Obliquely reflected backward stochastic differential equations ⋮ Penalty method for obliquely reflected diffusions

Cites Work

• Unnamed Item
• BSDEs with monotone generator and two irregular reflecting barriers
• Reflected BSDEs with monotone generator
• Stochastic representation of entropy solutions of semilinear elliptic obstacle problems with measure data
• Adapted solution of a backward stochastic differential equation
• Viscosity solutions for systems of parabolic variational inequalities
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form
• Backward stochastic differential equations with reflection and Dynkin games
• \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• Cauchy problem for semilinear parabolic equation with time-dependent obstacles: a BSDEs approach
• Dirichlet forms and semilinear elliptic equations with measure data
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Reflected Backward SDEs with General Jumps
• Reflected backward stochastic differential equations with jumps
• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
• Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient