Reflected backward SDEs with general jumps
Teoriâ veroâtnostej i ee primeneniâ, Tome 60 (2015) no. 2, pp. 357-376 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

@article{TVP_2015_60_2_a7,
     author = {S. Hamadene and Y. Ouknine},
     title = {Reflected backward {SDEs} with general jumps},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {357--376},
     year = {2015},
     volume = {60},
     number = {2},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2015_60_2_a7/}
}
TY  - JOUR
AU  - S. Hamadene
AU  - Y. Ouknine
TI  - Reflected backward SDEs with general jumps
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2015
SP  - 357
EP  - 376
VL  - 60
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/TVP_2015_60_2_a7/
LA  - en
ID  - TVP_2015_60_2_a7
ER  - 
%0 Journal Article
%A S. Hamadene
%A Y. Ouknine
%T Reflected backward SDEs with general jumps
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2015
%P 357-376
%V 60
%N 2
%U http://geodesic.mathdoc.fr/item/TVP_2015_60_2_a7/
%G en
%F TVP_2015_60_2_a7
S. Hamadene; Y. Ouknine. Reflected backward SDEs with general jumps. Teoriâ veroâtnostej i ee primeneniâ, Tome 60 (2015) no. 2, pp. 357-376. http://geodesic.mathdoc.fr/item/TVP_2015_60_2_a7/

[1] Barles G., Buckdahn R., Pardoux E., “Backward stochastic differential equations and integral-partial differential equations”, Stochastics and Stochastics Rep., 60:1–2 (1997), 57–83 | DOI | MR | Zbl

[2] Bielecki T., Crepey S., Jeanblanc M., Rutkowski M., “Defautable options in a Markovian intensity model of credit risk”, Math. Finance, 18:4 (2008), 493–518 | DOI | MR | Zbl

[3] Cvitanic J., Karatzas I., “Backward stochastic differential equations with reflection and Dynkin games”, Ann. Probab., 24:4 (1996), 2024–2056 | DOI | MR | Zbl

[4] Dellacherie C., Meyer P. A., Probabilités et potentiel, Chap. V–VIII, Hermann, Paris, 1980, 476 pp. | MR

[5] El Karoui N., “Les aspects probabilistes du contrôle stochastique”, Lecture Notes in Math., 876, 1981, 73–238 | DOI | MR

[6] El Karoui N., Kapoudjian C., Pardoux E., Peng S., Quenez M. C., “Reflected solutions of backward SDE's and related obstacle problems for PDE's”, Ann. Probab., 25:2 (1997), 702–737 | DOI | MR | Zbl

[7] El Karoui N., Pardoux E., Quenez M.-C., “Reflected backward SDEs and American options”, Numerical Methods in Finance, Publ. Newton Inst., 13, eds. L. Rogers, D. Talay, Cambridge Univ. Press, Cambridge, 1997, 215–231 | MR

[8] Hamadène S., “Mixed zero-sum differential game and American game options”, SIAM J. Control Optim., 45:2 (2006), 496–518 | DOI | MR

[9] Hamadène S., “Reflected BSDE's with discontinuous barriers and application”, Stochastics Stochastics Rep., 74:3–4 (2002), 571–596 | DOI | MR | Zbl

[10] Hamadène S., Lepeltier J. P., “Reflected BSDEs and mixed game problems”, Stochastic Process. Appl., 85:2 (2000), 177–188 | DOI | MR | Zbl

[11] Hamadène S., Ouknine Y., “Reflected backward stochastic differential equation with jumps and random obstacle”, Electron. J. Probab., 8:2 (2003), 1–20 | MR

[12] Vatanabe S., Ikeda N., Stokhasticheskie differentsialnye uravneniya i diffuzionnye protsessy, Nauka, M., 1986, 445 pp.

[13] Lepeltier J. P., Xu M., “Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier”, Statist. Probab. Lett., 75:1 (2005), 58–66 | DOI | MR | Zbl

[14] Tang S. J., Li X. J., “Necessary conditions for optimal control of stochastic systems with random jumps”, SIAM J. Control Optim., 33:5 (1994), 1447–1475 | DOI | MR

[15] Peng S., Xu M., “The smallest $g$-supermartingale and reflected BSDE with single and double $L^2$ obstacles”, Ann. Inst. H. Poincaré, 41:3 (2005), 605–630 | DOI | MR | Zbl

[16] Pardoux E., Peng S., “Adapted solutions of a backward stochastic differential equation”, Systems Control Lett., 14 (1990), 51–61 | DOI | MR

[17] Pardoux E., “BSDEs, weak convergence and homogenization of semilinear PDEs”, Nonlinear Analysis, Differential Equations and Control, eds. F. Clarke, R. Stern, Kluwer, Dordrecht, 1999, 503–549 | DOI | MR | Zbl

[18] Pardoux E., Peng S., “Backward stochastic differential equations and quasilinear parabolic partial differential equations”, Lecture Notes in Control Inform. Sci., 176, 1992, 200–217 | DOI | MR | Zbl

[19] Peng S., “Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyer's type”, Probab. Theory Related Fields, 113:4 (1999), 473–499 | DOI | MR | Zbl