Lp-Solutions for Doubly Reflected Backward Stochastic Differential Equations

DOI10.1080/07362994.2011.564442zbMath1242.60040OpenAlexW2023989047MaRDI QIDQ3114564

Said Hamadène, Brahim El Asri, Hao Wang

Publication date: 19 February 2012

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

Full work available at URL: https://doi.org/10.1080/07362994.2011.564442

zbMATH Keywords

penalizationlocal solutionDynkin gameSnell envelopereflected backward stochastic differential equationsMokobodski's hypothesisviscosity solution of variational inequalities

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic processes (60G99)

Related Items

Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition ⋮ Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration ⋮ \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions ⋮ Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Reflected BSDEs with regulated trajectories ⋮ Mean-field doubly reflected backward stochastic differential equations ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games ⋮ \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions ⋮ L^psolutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions ⋮ Doubly reflected BSDEs with integrable parameters and related Dynkin games ⋮ One dimensional reflected BSDEs with two barriers under logarithmic growth and applications ⋮ Doubly reflected backward stochastic differential equations in the predictable setting

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