Related papers: Reflected Backward Stochastic Difference Equations…

We consider reflected backward stochastic differential equations with two optional barriers of class (D) satisfying Mokobodzki's separation condition and coefficient which is only continuous and non-increasing. We assume that data are…

We establish the existence of both optimal relaxed controls and strict optimal controls for systems driven by Reflected Stochastic Differential Equations RSDEs. Our approach is based on weak convergence techniques for the associated RSDEs…

In this paper, we introduce a specific kind of doubly reflected Backward Stochastic Differential Equations (in short DRBSDEs), defined on probability spaces equipped with general filtration that is essentially non quasi-left continuous,…

In this paper, we study existence and uniqueness to multidimensional Reflected Backward Stochastic Differential Equation in an open convex domain, allowing for oblique directions of reflection. In a Markovian framework, combining \emph{a…

We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…

In this paper, we investigate reflected backward stochastic differential equations driven by rough paths (rough RBSDEs), which can be viewed as probabilistic representations of nonlinear rough partial differential equations (rough PDEs) or…

A backward stochastic differential equation (BSDE) is an SDE of the form $-dY_t = f(t,Y_t,Z_t)dt - Z_t^*dW_t;\ Y_T = \xi$. The subject of BSDEs has seen extensive attention since their introduction in the linear case by Bismut (1973) and in…

In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers basing on random work framework. We introduce different numerical algorithms by penalization…

This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle for this kind of optimal control problems using a variational…

We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon reflected BSDEs to the setting…

In this article, we build upon the work of Soner, Touzi and Zhang [Probab. Theory Related Fields 153 (2012) 149-190] to define a notion of a second order backward stochastic differential equation reflected on a lower c\`adl\`ag obstacle. We…

We study the optimal investment stopping problem in both continuous and discrete case, where the investor needs to choose the optimal trading strategy and optimal stopping time concurrently to maximize the expected utility of terminal…

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…

In this paper, we analyze a real-valued reflected backward stochastic differential equation (RBSDE) with an unbounded obstacle and an unbounded terminal condition when its generator $f$ has quadratic growth in the $z$-variable. In…

This article deals with the starting and stopping problem under Knightian uncertainty, i.e., roughly speaking, when the probability under which the future evolves is not exactly known. We show that the lower price of a plant submitted to…

We study solutions of a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps the solution above a given stochastic process (lower obstacle). We…

We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…

We consider a robust impulse control problem in finite horizon where the underlying uncertainty stems from an impulsively and continuously controlled functional stochastic differential equation (FSDE) driven by Brownian motion. We assume…

In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBS{\Delta}Ss) where the uncertainty is modeled by a discrete time, finite state process, rather than…

In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in its second variable: this is done by…