Obliquely reflected backward stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations
This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain with reflection on the boundary along an oblique direction. In this paper, we show the existence of an adapted solution to this system of BSDEs with oblique ref...
متن کاملA New Type of Reflected Backward Doubly Stochastic Differential Equations
In this paper, we introduce a new kind of ”variant” reflected backward doubly stochastic differential equations (VRBDSDEs in short), where the drift is the nonlinear function of the barrier process. In the one stochastic case, this type of equations have been already studied by Ma and Wang [26]. They called it as ”variant” reflected BSDEs (VRBSDEs in short) based on the general version of the S...
متن کاملReflected backward doubly stochastic differential equations with time delayed generators
We consider a class of reflected backward doubly stochastic differential equations with time delayed generator (in short RBDSDE with time delayed generator), in this case generator at time t can depend on the values of a solution in the past. Under a Lipschitz condition, we ensure the existence and uniqueness of the solution.
متن کاملReflected Backward Stochastic Differential Equations Driven by Lévy Process
In this paper, we deal with a class of reflected backward stochastic differential equations associated to the subdifferential operator of a lower semi-continuous convex function driven by Teugels martingales associated with Lévy process. We obtain the existence and uniqueness of solutions to these equations by means of the penalization method. As its application, we give a probabilistic interpr...
متن کامل(reflected) Backward Stochastic Differential Equations and Contingent Claims
We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
سال: 2020
ISSN: 0246-0203
DOI: 10.1214/20-aihp1061