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  • Search: subject:"Backward stochastic differential equations (BSDE) with constrained jumps"
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Backward stochastic differential equations (BSDE) with constrained jumps 1 Controller-and-stopper game 1 Hamilton–Jacobi–Bellman Isaacs equation 1 Reflected BSDE 1 Regime-switching jump–diffusion 1
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Choukroun, Sébastien 1 Cosso, Andrea 1 Pham, Huyên 1
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Stochastic Processes and their Applications 1
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Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
Choukroun, Sébastien; Cosso, Andrea; Pham, Huyên - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 597-633
We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution are proved by a double penalization approach under regularity assumptions on the obstacle. In a suitable regime switching diffusion...
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