Related papers: Mean-Field Doubly Reflected Backward Stochastic Di…
In this paper, we study multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators. Using the comparison theorem for diagonally quadratic BSDEs which is established recently in [14], we…
In this paper we study the mean-field backward stochastic differential equations (mean-field bsde) of the form dY(t) =-f(t,Y(t),Z(t),K(t, . ),E[\varphi(Y(t),Z(t),K(t,.))])dt+Z(t)dB(t) +\int_{R_{0}}K(t,\zeta)\tilde{N}(dt,d\zeta), where B is…
In this paper, we study the well-posedness of backward doubly stochastic differential equations (BDSDEs), both with and without reflection, under weak conditions. First, when the generator $f$ is of general growth in $y$ and linear growth…
We study a doubly reflected backward stochastic differential equation (BSDE) with integrable parameters and the related Dynkin game. When the lower obstacle $L$ and the upper obstacle $U$ of the equation are completely separated, we…
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…
The paper studies a multi-dimensional mean-field reflected backward stochastic differential equation (MF-RBSDE) with a reflection constraint depending on both the value process $Y$ and its distribution $[Y]$. We establish the existence,…
We study the problem of the existence, uniqueness and stability of solutions of reflected stochastic differential equations (SDEs) with a minimality condition depending on the law of the solution (and not on the paths). We require that some…
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…
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…
In this paper, we study general mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. First, the existence and uniqueness of local and global solutions are proved with some new ideas for a…
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 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…
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.
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…
In this paper, we continue in solving reflected generalized backward stochastic differential equations (RGBSDE for short) and fixed terminal time with use some new technical aspects of the stochastic calculus related to the reflected…
In this paper, we study a class of mean-field reflected backward stochastic differential equations (MF-RBSDEs) driven by a marked point process and also analyze MF-RBSDEs driven by a Poisson process. Based on a $g$-expectation…
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…
In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on fixed point argument, $\theta$-method and truncation…
The present paper is devoted to the study of the well-posedness of BSDEs with mean reflection whenever the generator has quadratic growth in the $z$ argument. This work is the sequel of Briand et al. [BSDEs with mean reflection,…
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…