On variant reflected backward SDEs, with applications.
Ma, Jin, Wang, Yusun (2009)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Reflected forward-backward SDEs and obstacle problems with boundary conditions.”
On variant reflected backward SDEs, with applications.
Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs.
Harraj, N., Ouknine, Y., Turpin, I. (2005)
Journal of Applied Mathematics and Stochastic Analysis
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A note on strong solutions of stochastic differential equations with a discontinuous drift coefficient.
Halidias, Nikolaos, Kloeden, P.E. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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A converse comparison theorem for BSDEs and related properties of -expectation.
Briand, Philippe, Coquet, François, Hu, Ying, Mémin, Jean, Peng, Shige (2000)
Electronic Communications in Probability [electronic only]
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Computation of Greeks for barrier and look-back options using Malliavin calculus.
Gobet, Emmanuel, Kohatsu-Higa, Arturo (2003)
Electronic Communications in Probability [electronic only]
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Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
Romain Abraham, Olivier Riviere (2006)
ESAIM: Probability and Statistics
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We consider a system of fully coupled forward-backward stochastic differential equations. First we generalize the results of Pardoux-Tang [7] concerning the regularity of the solutions with respect to initial conditions. Then, we prove that in some particular cases this system leads to a probabilistic representation of solutions of a second-order PDE whose second order coefficients depend on the gradient of the solution. We then give some examples in dimension 1 and dimension 2 for...
A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Reflected backward stochastic differential equations with two RCLL barriers
Jean-Pierre Lepeltier, Mingyu Xu (2007)
ESAIM: Probability and Statistics
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In this paper we consider BSDEs with Lipschitz coefficient reflected on two discontinuous (RCLL) barriers. In this case, we prove first the existence and uniqueness of the solution, then we also prove the convergence of the solutions of the penalized equations to the solution of the RBSDE. Since the method used in the case of continuous barriers (see Cvitanic and Karatzas, (1996) 2024–2056 and Lepeltier and San Martín, (2004) 162–175) does not work,...