Reflected BSDEs on filtered probability spaces

DOI10.1016/j.spa.2015.06.006zbMath1323.60079arXiv1408.5598OpenAlexW1712123693MaRDI QIDQ491186

Tomasz Klimsiak

Publication date: 24 August 2015

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

Full work available at URL: https://arxiv.org/abs/1408.5598

zbMATH Keywords

backward stochastic differential equations\(L^p\) datafiltered probability spaces

Mathematics Subject Classification ID

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

Related Items (24)

Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations ⋮ Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form ⋮ \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps ⋮ Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration ⋮ L^p-solution for BSDEs with jumps in the casep<2 ⋮ 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 ⋮ A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times ⋮ Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution ⋮ Ong−evaluations with domains under jump filtration ⋮ Reflected BSDEs with optional barrier in a general filtration ⋮ 𝕃^p solutions of reflected backward stochastic differential equations with jumps ⋮ Reflected BSDEs with jumps in time-dependent convex càdlàg domains ⋮ A general comparison theorem for reflected BSDEs ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games ⋮ Smooth measures and capacities associated with nonlocal parabolic operators ⋮ Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space ⋮ American options in nonlinear markets ⋮ Reflected BSDEs with general filtration and two completely separated barriers ⋮ Systems of BSDES with oblique reflection and related optimal switching problems ⋮ \(\mathbb{L}^2\)-solutions for reflected BSDEs with jumps under monotonicity and general growth conditions: a penalization method ⋮ Asymptotics for logistic-type equations with Dirichlet fractional Laplace operator

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