Reflected BSDE's with discontinuous barrier and application
By Said Hamadène. 2002
158 citations recorded by the source corpus.
Subfields: Demography, Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/ad5639db944929e5640e985b1df71587ee1f4bc0
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In Demography
In Finance
- Jianfeng Zhang
- Nizar Touzi
- Marcel Nutz
- Ibrahim Ekren
- Shige Peng
- H. M. Soner
- Mingyu Xu
- Yongsheng Song
In Mathematical Physics
Citations in the corpus
- The smallest g-supermartingale and reflected BSDE with single and double L2 obstacles (2005, unknown): “In the case whereL has càdlàg (right continuous with li limit) paths, a generalized Skorohod condition, similar to the original one, was given by Hamadene [12] an explicitly, by Lepeltier and Xu [16].”
- Reflected BSDE with a constraint and its applications in an incomplete market (2010, result): “This result, obtained in [38], is a generalized version of [15], [19] and [29] for the part of existence, and [22] for the part of comparison theorem.”
- Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011, background): “L and U can be càdlàg or even L2-processes and g admits a quadratic growth condition, see e.g. Hamadene (2002), Lepeltier and Xu (2005), Peng and Xu (2005) and many other related results.”
- Reflected Backward Stochastic Differential Equation with Jumps and RCLL Obstacle (2008, methodology): “p(S(·) + Kd) = Si(·) + Kd i = (S(·) + Kd)i, where p(S(·) + Kd) denote the predictable projection of (S(·)+Kd), using the same argument as in Lepeltier & Xu [12] (see also [ 7 ]) we have also”
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II (2012, methodology): “Our proof relies heavily on the theory of Reflected BSDEs, for which we refer to El Karoui et al [13], Hamadène [15], and Peng and”