Reflected Backward Stochastic Differential Equation with Jumps and RCLL Obstacle

By E. Essaky. 2008

102 citations recorded by the source corpus.

Subfields: Demography, Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/73bf80e972617e36919a91f1e654c2c5f3b80d7e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Huyen Pham
2. Idris Kharroubi
3. Yasushi Ishikawa
4. Marek Musiela
5. Thaleia Zariphopoulou
6. Kenneth Hvistendahl Karlsen
7. Fred Espen Benth
8. Ulrich Rieder

In Finance

1. Idris Kharroubi
2. Huyen Pham
3. Thaleia Zariphopoulou
4. P. J. Graber
5. Yasushi Ishikawa
6. Peter A. Forsyth
7. Marek Musiela
8. Andrea Cosso

In Modeling and Simulation

1. Huyen Pham
2. Idris Kharroubi

Citations in the corpus

• Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE (2012, background): “1 in [9], which extends to the jump case the monotonic convergence theorem of Peng [17] for BSDE.”
• Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps (2012, unknown): “In this section, we provide existence and uniqueness results for RBSDEs with jumps, in the case when the obstacle is RCLL, which complete some results in [12, 13, 9].”