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Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier

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References

1990Adapted solution of a backward stochastic differential equation2,676 cited
1997Backward Stochastic Differential Equations in Finance2,339 cited
1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
1981Les Aspects Probabilistes Du Controle Stochastique448 cited
1999Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type347 cited
2002Reflected BSDE's with discontinuous barrier and application137 cited

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2008Reflected backward stochastic differential equation with jumps and RCLL obstacle88 cited
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2018A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations48 cited
2010Reflected BSDE with a constraint and its applications in an incomplete market40 cited
2009Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition39 cited
2013Second order reflected backward stochastic differential equations

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39 cited

2018Reflected BSDEs with regulated trajectories37 cited

2010Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis36 cited

2007Reflected backward stochastic differential equations with two RCLL barriers33 cited