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Reflected BSDEs with monotone generator
10 references·1 citing·33 second hop
Reflected BSDEs with monotone generator (2012)Reflected BSDEs with monotone generatorLp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS (2011)Lp-SOLUTIONS FOR REFLECTED BA…The smallest g-supermartingale and reflected BSDE with single and double L2L2 obstacles (2005)The smallest g-supermartingal…Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions (2005)Reflected backward stochastic…Lp solutions of backward stochastic differential equations (2003)Lp solutions of backward stoc…Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)Monotonic limit theorem of BS…Reflected solutions of backward stochastic differential equations with continuous coefficient (1997)Reflected solutions of backwa…Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected solutions of backwa…Reflected Backward SDEs and American Options (1997)Reflected Backward SDEs and A…Backward stochastic differential equations with reflection and Dynkin games (1996)Backward stochastic different…Les Aspects Probabilistes Du Controle Stochastique (1981)Les Aspects Probabilistes Du …Reflected BSDEs with regulated trajectories (2018)Reflected BSDEs with regulate…Adapted solution of a backward stochastic differential equation (1990)Asset Pricing with Stochastic Differential Utility (1992)Stochastic Differential Utility (1992)BSDEs with monotone generator and two irregular reflecting barriers (2012)Reflected solutions of backward stochastic differential equations driven by G-Brownian motion (2017)Backward Stochastic Differential Equations in Finance (1997)Brownian Motion and Stochastic Calculus (2007)A note on existence and uniqueness for solutions of multidimensional reflected BSDEs (2011)Reflected Backward SDEs with General Jumps (2016)A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations (2018)Stochastic Differential Equations (1972)Calcul Stochastique et Problèmes de Martingales (1979)On the pricing of American options (1988)Variational inequalities and the pricing of American options (1990)Continuous Martingales and Brownian Motion (1999)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Quadratic BSDEs with convex generators and unbounded terminal conditions (2008)Dynamic programming approach to principal–agent problems (2017)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Reflected BSDEs on filtered probability spaces (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Filtration-consistent nonlinear expectations and related g-expectations (2002)Theory of rational option pricing (2005)Backward stochastic differential equations with jumps and related non-linear expectations (2006)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)ANTICIPATED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 1 (2012)Second order reflected backward stochastic differential equations (2013)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic Differential Equations (2014)Mixed Zero-Sum Stochastic Differential Game and American Game Options (2006)Optimal stopping under adverse nonlinear expectation and related games (2015)
this work references cited by second hop

References

  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 2003Lp solutions of backward stochastic differential equations367 cited
  • 1999Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type347 cited
  • 1996Backward stochastic differential equations with reflection and Dynkin games321 cited
  • 1997Reflected Backward SDEs and American Options130 cited
  • 2005The smallest g-supermartingale and reflected BSDE with single and double L2L2 obstacles108 cited
  • 1997Reflected solutions of backward stochastic differential equations with continuous coefficient64 cited
  • 2005Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions58 cited
  • 2011Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS39 cited

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  • 2018Reflected BSDEs with regulated trajectories37 cited

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