Related papers: Generalized Reflected BSDEs with RCLL Random Obsta…
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 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…
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…
We demonstrate that backward stochastic differential equations (BSDE) may be reformulated as ordinary functional differential equations on certain path spaces. In this framework, neither It\^{o}'s integrals nor martingale representation…
In this paper, we study multidimensional generalized BSDEs that have a monotone generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. First, we prove the existence and uniqueness of…
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 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, a solution is given to reflected backward doubly stochastic differential equations when the barrier is not necessarily right-continuous, and the noise is driven by two independent Brownian motions and an independent Poisson…
In the first part of this paper, we study RBSDEs in the case where the filtration is not quasi-left continuous and the lower obstacle is given by a predictable process. We prove the existence and uniqueness by using some results of optimal…
In this paper, we provide an estimate for the solutions of reflected backward stochastic differential equations (RBSDEs) driven by a Markov chain, derive a continuous dependence property for their solutions with respect to the parameters of…
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 studies a system of multi-dimensional reflected backward stochastic differential equations with oblique reflections (RBSDEs for short) in infinite horizon associated to switching problems. The existence and uniqueness of the…
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 note, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous generator (left-or right-continuous). By a comparison theorem establish here for…
We examine the sensitivity properties of backward stochastic differential equations and reflected backward stochastic differential equations, which naturally arise in the context of optimal control and optimal stopping problems. Motivated…
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 is concerned with the quasi-linear reflected backward stochastic partial differential equation (RBSPDE for short). Basing on the theory of backward stochastic partial differential equation and the parabolic capacity and…
In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Comparison Theorem by "one step" method.…
In this paper, we prove that there exists at least one solution for the reflected forward-backward stochastic differential equation driven by G-Brownian motion satisfying the obstacle constraint with monotone coefficients.
In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected G-BSDE for short) with an upper obstacle. The existence is proved by approximation via penalization. By using a variant…