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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