The smallest g-supermartingale and reflected BSDE with single and double L2 obstacles
By Shige Peng, Mingyu Xu. 2005
140 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/1ed9fc98c254756f6c1fa40b4b4a683ec19d6903
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Tomasz Klimsiak
- St'ephane Cr'epey
- Jianfeng Zhang
- Said Hamadène
- Shige Peng
- Christian Bender
- Jean-François Chassagneux
- Adrien Richou
Citations in the corpus
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II (2012, unknown): “Xu [29] for details.”
- Reflected BSDEs on filtered probability spaces (2014, background): “3) has been considered in [21] in the case of reflected BSDEs with Brownian filtration.”
- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs (2011, unknown): “We then consider the following system of reflected BSDEs: find (Ẏ , Ż, K̇) ∈ [S2c ×H2 ×K2c ]d such that Ẏ it = ξ i + ∫ T t f i(s, Ẏs, Żs)ds− ∫ T t Ż i s.dWs + K̇ i T − K̇it , 0 ≤ t ≤ T , Ẏ it ≥ maxj∈I{Ẏ j t − C ij t } , 0 ≤ t ≤ T ,∫ T 0 [Ẏ i t −maxj∈I{Ẏ j t − C ij t }]dK̇it = 0 , 0 ≤ i ≤…”
- About the Pricing Equations in Finance (2011, result): “Peng and Xu [89].”
- BSDEs with monotone generator and two irregular reflecting barriers (2013, methodology): “In [28] it is shown that in case p = 2 there exists a solution of BSDE with two reflecting barriers for Lipschitz continuous generators satisfying the linear growth condition.”
- Switching problem and related system of reflected backward SDEs (2010, methodology): “We prove the existence of solutions by using the notion of the smallest g-supermartingales introduced by Peng [29] and Peng and Xu [30].”