Reflected BSDEs with jumps in time-dependent convex càdlàg domains
Sign Up to like & getrecommendations! Published in 2020 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2020.06.001
Abstract: Abstract In the first part of the paper, we study the unique solvability of multidimensional reflected backward stochastic differential equations (RBSDEs) of Wiener–Poisson type with reflection in the inward spatial normal direction of a time-dependent… read more here.
Keywords: reflected bsdes; time; convex; time dependent ... See more keywords
Quadratic reflected BSDEs and related obstacle problems for PDEs
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2018.1543778
Abstract: Abstract In this paper, we study a kind of reflected backward stochastic differential equations (BSDEs) whose generators are of quadratic growth in z and linear growth in y. We first give an estimate of solutions… read more here.
Keywords: reflected bsdes; related obstacle; quadratic reflected; bsdes related ... See more keywords