Reflected BSDEs and mixed game problem

By Said Hamadène, J. Lepeltier. 2000

160 citations recorded by the source corpus.

Subfields: Demography, Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/fcc9068a938feea6927961c8445b185c412ccd55

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Citations in the corpus

Pricing Asset Scheduling Flexibility using Optimal Switching (2008, background): “Nevertheless, in the next section we will exploit the special structure of (6) and provide a robust numerical algorithm for finding J and ue.”
Generalized Dynkin games and doubly reflected BSDEs with jumps (2013, unknown): “[9], Hamadène-Lepeltier [25], Lepeltier-Xu [32], Hamadène-Ouknine [27]).”
BSDEs with two reflecting barriers : the general result (2005, background): “([CK], [ HL ]), which means the existence of a difference of non-negative supermartingales between L and U , or the regularity of one of the barriers L and U ([CK],[HLM]), which roughly speaking has to be a semi-martingale.”
Reflected BSDE's with discontinuous barrier and application (2002, background): “[16], Hamadène-Lepeltier deal with the case when the barrier X 1⁄4 ðXtÞt#T is a right continuous and left upper semicontinuous process (it entails that the jumps of X are positive), while in Ref.”
The smallest g-supermartingale and reflected BSDE with single and double L2 obstacles (2005, background): “We refer to [8,2,18,3,9,1,17,13] for interesting research works in this d The advantage of introducing the above Skorohod condition is that it possesses a very interesting structure that permits us to obtain many useful properties such as uniqueness, continuous dependence th other kind of regulariti”
BSDEs with two reflecting barriers driven by a Brownian motion and Poisson noise and related Dynkin game (2006, background): “Proof: In its main steps, the proof is classical (see e.g. [4] or [ 11 ]).”
7 – Backward Stochastic Differential Equations (2011, unknown): “Besides those and among many others, we note that Lepeltier & San Martin [135] studied BSDEs with non-Lipschitz continuous generators, Tang & Li [223] studied BSDEs driven by jump processes, Fuhrman & Tessitore [95] studied BSDEs in infinite dimensional spaces, Darling & Pardoux [54] studied BSDEs w”