Related papers: Reflected backward stochastic differential equatio…
A local strict comparison theorem and some converse comparison theorems are proved for reflected backward stochastic differential equations under suitable conditions.
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…
Our aim is to study the existence and uniqueness of the $L^{p}$ - variational solution, with $p>1,$ of the following multivalued backward stochastic differential equation with $p$-integrable data: \[ \left\{ \begin{align*}…
In [1], we proved the existence of solutions to reflected rough differential equations based on an idea of Euler approximation of the solutions which is due to Davie [6]. In this paper, we prove the existence theorem under weaker…
We study penalization coupled with time discretization for decoupled Markovian doubly reflected BSDEs with obstacles \(p_b(t,X_t)\le Y_t\le p_w(t,X_t)\). The DRBSDE is approximated by a penalized BSDE with parameter \(\lambda\) and…
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…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
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, we deal with Reflected Backward Stochastic Differential Equations for which the constraint is not on the paths of the solution but on its law as introduced by Briand, Elie and Hu in [3]. We extend the recent work [2] of…
In this paper, we study the mean reflected stochastic differential equations driven by G-Brownian motion, where the constraint depends on the expectation of the solution rather than on its paths. Well-posedness is achieved by first…
In this paper, our goal is solving backward doubly stochastic differential equation (BDSDE for short) under weak assumptions on the data. The first part of the paper is devoted to the development of some new technical aspects of stochastic…
We establish transportation cost inequalities, with respect to the uniform and $L_2$-metric, on the path space of continuous functions, for laws of solutions of stochastic differential equations with reflections. We also consider the case…
In this paper we investigate zero-sum two-player stochastic differential games whose cost functionals are given by doubly controlled reflected backward stochastic differential equations (RBSDEs) with two barriers. For admissible controls…
This paper extends our previous work to continuous-time optimal stopping, focusing on American options in an exploratory setting. Our first contribution is an entropy-regularized penalization scheme, inspired by classical penalization…
Consider a reflected diffusion on the positive half-line. We approximate it by solutions of stochastic differential equations using the penalty method: We emulate the "hard barrier" of reflection by a "soft barrier" of a large drift…
We formulate a notion of doubly reflected BSDEs with a default time and two completely separated RCLL barriers. We demonstrate the existence and uniqueness of the solution. Within the defaultable setup, we introduce a type of generalized…
The goal of this paper is to solve backward doubly stochastic differential equation (BDSDE, in short) under weak assumptions on the data. The first part is devoted to the development of some new technical aspects of stochastic calculus…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of the solution in infinite horizon. We show that the new BSDEs…
A notion of $L^p$-exact controllability is introduced for linear controlled (forward) stochastic differential equations, for which several sufficient conditions are established. Further, it is proved that the $L^p$-exact controllability,…
The present paper is devoted to the study of backward stochastic differential equations with mean reflection formulated by Briand et al. [7]. We investigate the solvability of a generalized mean reflected BSDE, whose driver also depends on…