Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions

DOI10.15559/22-vmsta218OpenAlexW4313296324MaRDI QIDQ6157630

Mohamed El Otmani, Mohammed Elhachemy

Publication date: 22 June 2023

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15559/22-vmsta218

zbMATH Keywords

viscosity solutionreflected BSDEgeneralized BSDE with jumpsintegral-partial differential equationsrcll barrier

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Viscosity solutions to PDEs (35D40)

Related Items

Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions

Cites Work

• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Reflected BSDE driven by a Lévy process
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Generalized BSDE driven by a Lévy process
• Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• On solutions of backward stochastic differential equations with jumps and applications
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
• Reflected Backward SDEs with General Jumps
• Backward stochastic differential equations and integral-partial differential equations
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• Penalization methods for reflecting stochastic differential equations with jumps
• Applied stochastic control of jump diffusions
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item