BSDEs with monotone generator and two irregular reflecting barriers

DOI10.1016/j.bulsci.2012.06.006zbMath1311.60064arXiv1810.03397OpenAlexW2091509109MaRDI QIDQ390828

Tomasz Klimsiak

Publication date: 9 January 2014

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

Full work available at URL: https://arxiv.org/abs/1810.03397

zbMATH Keywords

supersolutionsmonotone generatorsreflected backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) (L^p)-limit theorems (60F25)

Related Items

Backward stochastic differential equations with mean reflection and two constraints ⋮ A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations ⋮ Existence and uniqueness for \(\mathbb{D}\)-solutions of reflected BSDEs with two barriers without Mokobodzki's condition ⋮ Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type ⋮ Reflected backward stochastic differential equations with jumps in time-dependent random convex domains ⋮ \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps ⋮ Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration ⋮ General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales ⋮ Backward stochastic differential equations with two barriers and generalized reflection ⋮ Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Reflected BSDEs with regulated trajectories ⋮ Systems of quasi-variational inequalities related to the switching problem ⋮ Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities ⋮ Backward doubly-stochastic differential equations with mean reflection ⋮ 𝕃^p solutions of reflected backward stochastic differential equations with jumps ⋮ Reflected BSDEs with jumps in time-dependent convex càdlàg domains ⋮ Reflected BSDEs on filtered probability spaces ⋮ A general comparison theorem for reflected BSDEs ⋮ 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 ⋮ Reflected BSDEs in time-dependent convex regions ⋮ Reflected backward stochastic differential equations with two optional barriers ⋮ BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration ⋮ Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space ⋮ Doubly reflected BSDEs with integrable parameters and related Dynkin games ⋮ L^p-Variational solutions of multivalued backward stochastic differential equations ⋮ \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method ⋮ Obstacle problem for semilinear parabolic equations with measure data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Reflected BSDEs with monotone generator
• General existence results for reflected BSDE and BSDE
• Adapted solution of a backward stochastic differential equation
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Reflected BSDE with a constraint and its applications in an incomplete market
• Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form
• Strong solutions of semilinear parabolic equations with measure data and generalized backward stochastic differential equations
• Backward stochastic differential equations with reflection and Dynkin games
• \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition
• Switching problem and related system of reflected backward SDEs
• Sobolev solution for semilinear PDE with obstacle under monotonicity condition
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Reflected BSDEs and mixed game problem
• BSDEs with two reflecting barriers: the general result
• Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
• A generalized existence theorem of reflected BSDEs with double obstacles
• 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
• Representations and regularities for solutions to BSDEs with reflections
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• \(L^p\) solutions of backward stochastic differential equations.
• Lp -solution of reflected generalized BSDEs with non-Lipschitz coefficients
• Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
• Reflected BSDE's with discontinuous barrier and application
• Backward SDEs with two barriers and continuous coefficient: an existence result