Generalized BSDE with two reflecting barriers
From MaRDI portal
Publication:5324871
DOI10.1515/ROSE.2008.020zbMath1199.60208MaRDI QIDQ5324871
Mohamed El Otmani, Naoual Mrhardy
Publication date: 8 August 2009
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
Related Items (3)
Reflected BSDEs with jumps and two rcll barriers under stochastic Lipschitz coefficient ⋮ Double barrier reflected BSDEs with stochastic Lipschitz coefficient ⋮ Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
Cites Work
- Zero-sum stochastic differential games and backward equations
- Backward stochastic differential equations with reflection and Dynkin games
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Generalized BSDEs and nonlinear Neumann boundary value problems
- Conjugate convex functions in optimal stochastic control
- BSDEs with two reflecting barriers: the general result
- Euler's approximations of solutions of SDEs with reflecting boundary.
- Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
- Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
- Stochastic differential equations with reflecting boundary conditions
- Backward SDEs with two barriers and continuous coefficient: an existence result
- Reflected forward-backward SDEs and obstacle problems with boundary conditions
This page was built for publication: Generalized BSDE with two reflecting barriers
