Generalized Snell envelope as a minimal solution of BSDE with lower barriers

DOI10.1016/j.bulsci.2012.11.004zbMath1296.60146arXiv1210.5876OpenAlexW1996697180MaRDI QIDQ388135

Youssef Ouknine, El Hassan Es-Saky, Mohammed Hassani

Publication date: 19 December 2013

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5876

zbMATH Keywords

comparison theorembackward stochastic differential equationsSnell envelope

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (2)

Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale ⋮ Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles

Cites Work

• Unnamed Item
• Backward stochastic differential equations with reflection and Dynkin games
• Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
• Strong envelopes of stochastic processes and a penalty method^†

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