相关论文: BSDEs with two RCLL Reflecting Obstacles driven by…

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 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…

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 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.…

We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…

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…

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…

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 first investigate zero-sum two-player stochastic differential games with reflection with the help of theory of Reflected Backward Stochastic Differential Equations (RBSDEs). We will establish the dynamic programming…

In this paper, we study backward stochastic differential equations (BSDEs shortly) with jumps that have Lipschitz generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. Under just…

In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson point process, and when the solution is forced to stay in a…

In a noise driving by a multivariate point process $\mu$ with predictable compensator $\nu$, we prove existence and uniqueness of the reflected backward stochastic differential equation's solution with a lower obstacle…

This article is dedicated to the study of mixed zero-sum two-player stochastic differential games in the situation when the player's cost functionals are modeled by doubly controlled reflected backward stochastic equations with two barriers…

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…

We consider reflected backward stochastic differential equations, with two barriers, defined on probability spaces equipped with filtration satisfying only the usual assumptions of right continuity and completeness. As for barriers we…

We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encompassing a wide spectrum of nonlinear financial models,…

We consider a one-reflected backward stochastic differential equation with a general RCLL barrier in a filtration that supports a Brownian motion and an independent Poisson random measure. We establish the existence and uniqueness of a…

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…

In this paper we deal with the problem of the existence and the uniqueness of a solution for one dimensional reflected backward stochastic differential equations with two strictly separated barriers when the generator is allowing a…

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…