Related papers: Reflected BSDEs and doubly reflected BSDEs driven …
Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is to develop a general multi-asset framework encompassing a wide spectrum of…
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…
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.…
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 discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an independent compensated Poisson process. As in…
We study a discrete time approximation scheme for the solution of a doubly reflected Backward Stochastic Differential Equation (DBBSDE in short) with jumps, driven by a Brownian motion and an independent compensated Poisson process.…
This paper addresses the existence and uniqueness of solutions to Reflected Generalized Backward Stochastic Differential Equations (GRBSDEs) within a general filtration that supports a Brownian motion and an independent integer-valued…
We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with intensity process $(\lambda_t)$. We give a priori estimates for…
We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results and methods developed in Carbone et al. (2008) and El Karoui…
We study non-linear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and p default martingales. The driver of the BSDE with multiple default jumps can take a generalized form involving an optional finite…
In this paper, we study the doubly reflected backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs for short) when the generator has quadratic growth in the $z$-component. Based on the theory of $G$-BMO…
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 study a correlated Brownian motion in two dimensions, which is reflected, stopped or killed in a wedge represented as the intersection of two half spaces. First, we provide explicit density formulas, hinted by the method of images. These…
We consider the well-posedness problem of multi-dimensional reflected backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with diagonal generators. Two methods, i.e., the penalization method and the Picard…
In this paper, we introduce a new kind of reflected backward stochastic differential equations (RBSDEs) driven by a martingale, in a Markov chain model, but not driven by Brownian motion, and give existence and uniqueness results for the…
In this paper, we introduce a new method to study the doubly reflected backward stochastic differential equation driven by G-Brownian motion (G-BSDE). Our approach involves approximating the solution through a family of penalized 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…
The paper is directly motivated by the pricing of vulnerable European and American options in a general hazard process setup and a related study of the corresponding pre-default backward stochastic differential equations (BSDE) and…
We study the well-posedness of general reflected BSDEs driven by a continuous martingale, when the coefficient f of the driver has at most quadratic growth in the control variable Z, with a bounded terminal condition and a lower obstacle…
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…