Solving the double barrier reflected BSDEs via penalization method

DOI10.1016/J.SPL.2015.12.003zbMath1336.60115OpenAlexW2217831919MaRDI QIDQ273699

Min Li, Yu-feng Shi

Publication date: 22 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.spl.2015.12.003

zbMATH Keywords

penalization methodsemimartingalereflected backward stochastic differential equation

Mathematics Subject Classification ID

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

Related Items (4)

Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient ⋮ Unnamed Item ⋮ Double barrier reflected BSDEs with stochastic Lipschitz coefficient ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Backward stochastic differential equations with reflection and Dynkin games
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• BSDEs with two reflecting barriers: the general result
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• Backward Stochastic Differential Equations in Finance
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