Related papers: Reflected BSDEs and robust optimal stopping for dy…

The aim of this paper is to study an optimal stopping problem for dynamic risk measures induced by backward stochastic differential equations with jumps and delayed generator. Firstly, we connect the value function of this problem to…

In the first part of the paper, we study reflected backward stochastic differential equations (RBSDEs) with lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous. We prove existence and…

We define a class of reflected backward stochastic differential equation (RBSDE) driven by a marked point process (MPP) and a Brownian motion, where the solution is constrained to stay above a given c\`adl\`ag process. The MPP is only…

In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness result, as well as comparison theorems for the solutions, are…

We study the optimal stopping problem for a monotonous dynamic risk measure induced by a BSDE with jumps in the Markovian case. We show that the value function is a viscosity solution of an obstacle problem for a partial…

This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random…

This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a…

We prove existence and uniqueness of the reflected backward stochastic differential equation's (RBSDE) solution with a lower obstacle which is assumed to be right upper-semicontinuous but not necessarily right-continuous in a filtration…

We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the classical optimal stopping problem over a larger set of…

The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [Han, Jentzen and E, PNAS, 115(34):8505-8510, 2018] has shown great…

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…

We introduce a new type of reflected backward stochastic differential equations (BSDEs) for which the reflection constraint is imposed on its main solution component, denoted as $Y$ by convention, but in terms of its conditional expectation…

This paper is devoted to the study of reflected Stochastic Differential Equations with jumps when the constraint is not on the paths of the solution but acts on the law of the solution. This type of reflected equations have been introduced…

In this paper, an optimal switching problem is proposed for one-dimensional reflected backward stochastic differential equations (RBSDEs, for short) where the generators, the terminal values and the barriers are all switched with positive…

We consider a non-Markovian optimal stopping problem on finite horizon. We prove that the value process can be represented by means of a backward stochastic differential equation (BSDE), defined on an enlarged probability space, containing…

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…

This paper shows that penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal stopping representation and optimal control representation.…

In this paper{\}we prove the existence of a solution for reflected backward doubly stochastic differential equations with poisson jumps (RBDSDEPs) with one continuous barrier where the generator is continuous and also we study the RBDSDEPs…

In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping time. Under some mild assumptions on the coefficients in such…

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…