Reflections on BSDEs
From MaRDI portal
Publication:6545184
DOI10.1214/24-ejp1123MaRDI QIDQ6545184
Dylan Possamaï, Marco A. M. Rodrigues
Publication date: 29 May 2024
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)
Cites Work
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale
- Stability results for martingale representations: The general case
- Stochastic Calculus and Applications
- Backward Stochastic Differential Equations
- Dynamic Programming Conditions for Partially Observable Stochastic Systems
- Donsker-type theorem for BSDEs
- Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem
- Generalized BSDE and reflected BSDE with random time horizon
- Stability of backward stochastic differential equations: the general Lipschitz case
- Optimal Stopping of BSDEs with Constrained Jumps and Related Zero-Sum Games
- Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
- Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
- BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
- A trajectorial interpretation of Doob's martingale inequalities
- Some norm estimates for semimartingales
- BSDEs with monotone generator and two irregular reflecting barriers
- Reflected BSDEs with monotone generator
- Quadratic reflected BSDEs with unbounded obstacles
- Quasi-sure stochastic analysis through aggregation
- Wellposedness of second order backward SDEs
- Optimal stopping time problem in a general framework
- Reflected BSDEs on filtered probability spaces
- Adapted solution of a backward stochastic differential equation
- Calcul stochastique et problèmes de martingales
- Reflected BSDE with a constraint and its applications in an incomplete market
- Zero-sum stochastic differential games and backward equations
- Backward stochastic differential equations with reflection and Dynkin games
- Existence, uniqueness and comparisons for BSDEs in general spaces
- \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition
- Generalized Dynkin games and doubly reflected BSDEs with jumps
- Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
- Robust superhedging with jumps and diffusion
- Weak approximation of second-order BSDEs
- Second-order BSDEs with jumps: formulation and uniqueness
- BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Existence and uniqueness for backward stochastic differential equations driven by a random measure, possibly non quasi-left continuous
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
- A general theory of finite state backward stochastic difference equations
- Optimization of consumption with labor income
- Stability of BSDEs with random terminal time and homogenization of semilinear elliptic 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
- Conjugate convex functions in optimal stochastic control
- A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
- Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
- Dynamic programming approach to principal-agent problems
- Reflected BSDEs with optional barrier in a general filtration
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case
- Stochastic control for a class of nonlinear kernels and applications
- On the robustness of backward stochastic differential equations.
- BSDEs with two reflecting barriers: the general result
- Reflected backward stochastic differential equation with jumps and random obstacle
- Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
- Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games
- Donsker-type theorem for BSDEs: rate of convergence
- Optimal stopping of marked point processes and reflected backward stochastic differential equations
- Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space
- On stochastic control for time changed Lévy dynamics
- A characterization of solutions of quadratic BSDEs and a new approach to existence
- RBSDEs with optional barriers: monotone approximation
- Second order backward SDE with random terminal time
- Reflected backward stochastic differential equations with two optional barriers
- Optimal stopping with \(f\)-expectations: the irregular case
- Reflected BSDEs with regulated trajectories
- BSDEs with jumps, optimization and applications to dynamic risk measures
- Solvability of backward stochastic differential equations with quadratic growth
- The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
- Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs
- Quadratic BSDEs with jumps: a fixed-point approach
- Utility maximization in incomplete markets
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Reflected BSDEs with two completely separated barriers and regulated trajectories in general filtration
- Quadratic BSDEs with jumps: Related nonlinear expectations
- Reflected BSDEs when the obstacle is not right-continuous in a general filtration
- Backward Stochastic Difference Equations and Nearly Time-Consistent Nonlinear Expectations
- Backward stochastic differential equations and integral-partial differential equations
- Mixed Zero-Sum Stochastic Differential Game and American Game Options
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Backward Stochastic Differential Equations Driven By Càdlàg Martingales
- OPTIONAL MARTINGALES
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Stochastic Differential Utility
- [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
- Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
- Backward Stochastic Differential Equations in Finance
- Reflected BSDE's with discontinuous barrier and application
- Backward SDEs with two barriers and continuous coefficient: an existence result
- BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
- Backward stochastic Volterra integral equations with jumps in a general filtration
- On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples
This page was built for publication: Reflections on BSDEs