Predictable solution for reflected BSDEs when the obstacle is not right-continuous

DOI10.1515/rose-2020-2045zbMath1457.60090OpenAlexW3112611315MaRDI QIDQ2660766

Mohamed Marzougue, Mohamed El Otmani

Publication date: 31 March 2021

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2020-2045

zbMATH Keywords

reflected backward stochastic differential equationsgeneral filtrationstochastic Lipschitz coefficientlàdlàg predictable obstaclepredictable Mertens decompositionpredictable solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integral equations (60H20)

Related Items

Unnamed Item ⋮ Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ Irregular barrier reflected BSDEs driven by a Lévy process ⋮ Monotonic limit theorem for BSDEs with regulated trajectories

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• On solutions of backward stochastic differential equations with jumps and applications
• Conjugate convex functions in optimal stochastic control
• Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
• Reflected BSDEs with optional barrier in a general filtration
• Reflected backward stochastic differential equation with jumps and random obstacle
• 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
• Reflected Backward SDEs with General Jumps
• Reflected BSDEs when the obstacle is not right-continuous in a general filtration
• Backward Stochastic Differential Equations in Finance
• Reflected BSDE's with discontinuous barrier and application
• BSDEs driven by normal martingale
• Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale

This page was built for publication: Predictable solution for reflected BSDEs when the obstacle is not right-continuous