Related papers: Numerical Algorithms and Simulations for Reflected…

In this paper we study different algorithms for backward stochastic differential equations (BSDE in short) basing on random walk framework for 1-dimensional Brownian motion. Implicit and explicit schemes for both BSDE and reflected BSDE are…

We study reflected solutions of one-dimensional backward doubly stochastic differential equations (BDSDEs in short). The "reflected" keeps the solution above a given stochastic process. We get the uniqueness and existence by penalization.…

In this paper we study reflected backward stochastic differential equations with a continuous, linear growth coefficient and two barriers which belong to L^2. We prove that there exists at least by penalization method.

We investigate two-barriers-reflected backward stochastic differential equations with data from rank-based stochastic differential equation. More specifically, we focus on the solution of backward stochastic differential equations…

Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivatives, stochastic optimal control problems, optimal stopping…

This paper deals with the problem of existence and uniqueness of a solution for a backward stochastic differential equation (BSDE for short) with one reflecting barrier in the case when the terminal value, the generator and the obstacle…

We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the…

This paper proves the existence and uniqueness of a solution to doubly reflected backward stochastic differential equations where the coefficient is stochastic Lipschitz, by means of the penalization method.

This article deals with the numerical resolution of backward stochastic differential equations. Firstly, we consider a rather general case where the filtration is generated by a Brownian motion and a Poisson random measure. We provide a…

In this note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem establish here for…

In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward…

In this paper, we study doubly reflected Backward Stochastic Differential Equations defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness in the case where the…

We consider reflected backward stochastic differential equations with two general optional barriers. The solutions to these equations have the so-called regulated trajectories, i.e trajectories with left and right finite limits. We prove…

In this paper, we study the doubly conditional reflected backward stochastic differential equations (BSDEs), where constraints are made on the conditional expectation of the first component of the solution with respect to a general…

In this paper we present two numerical schemes of approximating solutions of backward doubly stochastic differential equations (BDSDEs for short). We give a method to discretize a BDSDE. And we also give the proof of the convergence of…

In this paper we first investigate zero-sum two-player stochastic differential games with reflection with the help of theory of Reflected Backward Stochastic Differential Equations (RBSDEs). We will establish the dynamic programming…

We prove well-posedness results for backward stochastic differential equations (BSDEs) and reflected BSDEs with an optional obstacle process in the case of appropriately weighted $\mathbb{L}^2$-data when the generator is integrated with…

In this paper we study Backward Stochastic Differential Equations with two reflecting right continuous with left limits obstacles (or barriers) when the noise is given by Brownian motion and a Poisson random measure mutually independent.…

In the first part of this paper we give a solution for the one-dimensional reflected backward stochastic differential equation (BSDE for short) when the noise is driven by a Brownian motion and an independent Poisson point process. The…

Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will study a new special mean-field problem in a purely…