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Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
16 references·0 citing·37 second hopsampled
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References

  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations811 cited
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 1997Backward stochastic differential equations and integral-partial differential equations538 cited
  • 1994Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps526 cited
  • 1996Backward stochastic differential equations with reflection and Dynkin games332 cited
  • 2011Wellposedness of second order backward SDEs294 cited
  • 2006Backward stochastic differential equations with jumps and related non-linear expectations259 cited
  • 2013BSDEs with jumps, optimization and applications to dynamic risk measures151 cited
  • 2002Reflected BSDE's with discontinuous barrier and application137 cited
  • 2000Reflected BSDEs and mixed game problem136 cited
  • 1992Stochastic Partial Differential Equations and Their Applications126 cited
  • 2005The smallest g-supermartingale and reflected BSDE with single and double L2L2 obstacles108 cited

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2005
Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
97 cited
  • 2014A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization89 cited
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