Derchu, Joffrey; Mastrolia, Thibaut On Z-mean reflected BSDEs. (English) Zbl 07824112 Bernoulli 30, No. 2, 1502-1524 (2024). MSC: 60Hxx PDFBibTeX XMLCite \textit{J. Derchu} and \textit{T. Mastrolia}, Bernoulli 30, No. 2, 1502--1524 (2024; Zbl 07824112) Full Text: DOI arXiv Link
O, Hun; Kim, Mun-Chol; Kim, Kon-Gun Wellposedness of second order reflected BSDEs: a new formulation. (English) Zbl 07806691 ESAIM, Probab. Stat. 28, 1-21 (2024). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{H. O} et al., ESAIM, Probab. Stat. 28, 1--21 (2024; Zbl 07806691) Full Text: DOI
He, Wei Multi-dimensional mean-reflected BSDEs driven by \(G\)-Brownian motion with time-varying non-Lipschitz coefficients. (English) Zbl 07803680 Stat. Probab. Lett. 206, Article ID 109977, 10 p. (2024). MSC: 60H10 60G65 PDFBibTeX XMLCite \textit{W. He}, Stat. Probab. Lett. 206, Article ID 109977, 10 p. (2024; Zbl 07803680) Full Text: DOI
Qian, Hongchao; Peng, Jun Backward doubly-stochastic differential equations with mean reflection. (English) Zbl 07799983 Probab. Uncertain. Quant. Risk 8, No. 4, 417-444 (2023). MSC: 35R60 60H15 60H20 PDFBibTeX XMLCite \textit{H. Qian} and \textit{J. Peng}, Probab. Uncertain. Quant. Risk 8, No. 4, 417--444 (2023; Zbl 07799983) Full Text: DOI
Hun, O.; Kim, Mun-Chol; Kim, Kon-Gun Dynamic programming approach to reflected backward stochastic differential equations. (English) Zbl 07790277 Electron. J. Probab. 28, Paper No. 114, 20 p. (2023). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{O. Hun} et al., Electron. J. Probab. 28, Paper No. 114, 20 p. (2023; Zbl 07790277) Full Text: DOI
Baadi, Brahim; Marzougue, Mohamed Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle. (English) Zbl 1525.60069 Random Oper. Stoch. Equ. 31, No. 4, 351-370 (2023). MSC: 60H10 60G40 60G55 PDFBibTeX XMLCite \textit{B. Baadi} and \textit{M. Marzougue}, Random Oper. Stoch. Equ. 31, No. 4, 351--370 (2023; Zbl 1525.60069) Full Text: DOI arXiv
Bayraktar, Erhan; Cohen, Asaf; Nellis, April A neural network approach to high-dimensional optimal switching problems with jumps in energy markets. (English) Zbl 07770144 SIAM J. Financ. Math. 14, No. 4, 1028-1061 (2023). MSC: 91B70 60H10 65C30 93E20 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., SIAM J. Financ. Math. 14, No. 4, 1028--1061 (2023; Zbl 07770144) Full Text: DOI arXiv
Gu, Zihao; Lin, Yiqing; Xu, Kun Quadratic BSDEs with mean reflection driven by \(G\)-Brownian motion. (English) Zbl 07768184 Stoch. Dyn. 23, No. 5, Article ID 2350044, 41 p. (2023). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{Z. Gu} et al., Stoch. Dyn. 23, No. 5, Article ID 2350044, 41 p. (2023; Zbl 07768184) Full Text: DOI
El Asri, Brahim; Ourkiya, Nacer Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem. (English) Zbl 07768178 Stoch. Dyn. 23, No. 5, Article ID 2350035, 21 p. (2023). MSC: 60H30 35D40 PDFBibTeX XMLCite \textit{B. El Asri} and \textit{N. Ourkiya}, Stoch. Dyn. 23, No. 5, Article ID 2350035, 21 p. (2023; Zbl 07768178) Full Text: DOI arXiv
Klimsiak, Tomasz; Rzymowski, Maurycy Nonlinear BSDEs with two optional Doob’s class barriers satisfying weak Mokobodzki’s condition and extended Dynkin games. (English) Zbl 1523.60100 Appl. Math. Optim. 88, No. 3, Paper No. 80, 33 p. (2023). MSC: 60H10 60G40 PDFBibTeX XMLCite \textit{T. Klimsiak} and \textit{M. Rzymowski}, Appl. Math. Optim. 88, No. 3, Paper No. 80, 33 p. (2023; Zbl 1523.60100) Full Text: DOI arXiv OA License
An, Lifen; Cohen, Samuel N.; Ji, Shaolin Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation. (English) Zbl 07733584 Electron. J. Probab. 28, Paper No. 99, 24 p. (2023). MSC: 60H10 60G40 91G80 PDFBibTeX XMLCite \textit{L. An} et al., Electron. J. Probab. 28, Paper No. 99, 24 p. (2023; Zbl 07733584) Full Text: DOI arXiv Link
Qu, Baoyou; Wang, Falei Multi-dimensional BSDEs with mean reflection. (English) Zbl 07733581 Electron. J. Probab. 28, Paper No. 103, 26 p. (2023). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{B. Qu} and \textit{F. Wang}, Electron. J. Probab. 28, Paper No. 103, 26 p. (2023; Zbl 07733581) Full Text: DOI Link
Essaky, E. H.; Hassani, M.; Rhazlane, C. E. Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles. (English) Zbl 1517.60061 Stochastic Processes Appl. 163, 473-497 (2023). MSC: 60H10 60H20 60H05 PDFBibTeX XMLCite \textit{E. H. Essaky} et al., Stochastic Processes Appl. 163, 473--497 (2023; Zbl 1517.60061) Full Text: DOI arXiv
Chen, Yuyang; Luo, Peng Existence and uniqueness of solutions for multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators. (English) Zbl 1517.60060 J. Theor. Probab. 36, No. 3, 1698-1719 (2023). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{Y. Chen} and \textit{P. Luo}, J. Theor. Probab. 36, No. 3, 1698--1719 (2023; Zbl 1517.60060) Full Text: DOI
Oualaid, Abdelkarim; Bahlali, Khaled; Ouknine, Youssef Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations. (English) Zbl 07722774 J. Theor. Probab. 36, No. 3, 1400-1436 (2023). Reviewer: Nicolas Privault (Singapura) MSC: 60J76 60H10 60G57 35A23 35D40 49J40 PDFBibTeX XMLCite \textit{A. Oualaid} et al., J. Theor. Probab. 36, No. 3, 1400--1436 (2023; Zbl 07722774) Full Text: DOI
Djehiche, Boualem; Elie, Romuald; Hamadène, Said Mean-field reflected backward stochastic differential equations. (English) Zbl 1515.60182 Ann. Appl. Probab. 33, No. 4, 2493-2518 (2023). MSC: 60H10 60H07 49N90 PDFBibTeX XMLCite \textit{B. Djehiche} et al., Ann. Appl. Probab. 33, No. 4, 2493--2518 (2023; Zbl 1515.60182) Full Text: DOI Link
Cao, Haoyang; Guo, Xin; Lee, Joon Seok Approximation of \(N\)-player stochastic games with singular controls by mean field games. (English) Zbl 1518.49044 Numer. Algebra Control Optim. 13, No. 3-4, 604-629 (2023). MSC: 49N80 91A15 91A16 91A06 PDFBibTeX XMLCite \textit{H. Cao} et al., Numer. Algebra Control Optim. 13, No. 3--4, 604--629 (2023; Zbl 1518.49044) Full Text: DOI arXiv
Chen, Yinggu; Hamadène, Said; Mu, Tingshu Mean-field doubly reflected backward stochastic differential equations. (English) Zbl 1519.49025 Numer. Algebra Control Optim. 13, No. 3-4, 431-460 (2023). Reviewer: Savin Treanţă (Bucureşti) MSC: 49N80 91A16 PDFBibTeX XMLCite \textit{Y. Chen} et al., Numer. Algebra Control Optim. 13, No. 3--4, 431--460 (2023; Zbl 1519.49025) Full Text: DOI arXiv
Marzougue, Mohamed; El Otmani, Mohamed Irregular barrier reflected BSDEs driven by a Lévy process. (English) Zbl 1515.60206 Stochastic Anal. Appl. 41, No. 4, 734-751 (2023). MSC: 60H10 60G40 60H20 60H30 PDFBibTeX XMLCite \textit{M. Marzougue} and \textit{M. El Otmani}, Stochastic Anal. Appl. 41, No. 4, 734--751 (2023; Zbl 1515.60206) Full Text: DOI
Li, Junsong; Mi, Chao; Xing, Chuanzhi; Zhao, Dehao General coupled mean-field reflected forward-backward stochastic differential equations. (English) Zbl 1524.60128 Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 5, 2234-2262 (2023). MSC: 60H10 PDFBibTeX XMLCite \textit{J. Li} et al., Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 5, 2234--2262 (2023; Zbl 1524.60128) Full Text: DOI
Berrhazi, Badr-eddine; El Fatini, Mohamed; Hilbert, Astrid; Mrhardy, Naoual; Pettersson, Roger RBDSDEs with jumps and optional barrier and mean field game with common noise. (English) Zbl 1524.60118 Stochastics 95, No. 4, 615-634 (2023). MSC: 60H10 93E20 60G40 PDFBibTeX XMLCite \textit{B.-e. Berrhazi} et al., Stochastics 95, No. 4, 615--634 (2023; Zbl 1524.60118) Full Text: DOI
Xu, Xiaoyan; Zhang, Mingbo Anticipated BSDEs with reflection in convex region. (English) Zbl 1524.60138 Stochastics 95, No. 3, 329-355 (2023). MSC: 60H10 PDFBibTeX XMLCite \textit{X. Xu} and \textit{M. Zhang}, Stochastics 95, No. 3, 329--355 (2023; Zbl 1524.60138) Full Text: DOI
El Asri, Brahim; Oufdil, Khalid Reflected BSDEs with logarithmic growth and applications in mixed stochastic control problems. (English) Zbl 07701604 Stochastics 95, No. 1, 23-53 (2023). Reviewer: Kai Wang (Bengbu) MSC: 60H10 93E03 93E20 60G99 PDFBibTeX XMLCite \textit{B. El Asri} and \textit{K. Oufdil}, Stochastics 95, No. 1, 23--53 (2023; Zbl 07701604) Full Text: DOI arXiv
Elhachemy, Mohammed; El Otmani, Mohamed Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions. (English) Zbl 07700001 Mod. Stoch., Theory Appl. 10, No. 1, 77-110 (2023). MSC: 60H10 60H05 60H30 35D40 PDFBibTeX XMLCite \textit{M. Elhachemy} and \textit{M. El Otmani}, Mod. Stoch., Theory Appl. 10, No. 1, 77--110 (2023; Zbl 07700001) Full Text: DOI
Qiu, Jinniao; Zhang, Jing Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations. (English) Zbl 1518.91012 Ann. Appl. Probab. 33, No. 2, 889-930 (2023). MSC: 91A15 91A10 91A05 35R60 35F21 35D40 60H30 PDFBibTeX XMLCite \textit{J. Qiu} and \textit{J. Zhang}, Ann. Appl. Probab. 33, No. 2, 889--930 (2023; Zbl 1518.91012) Full Text: DOI arXiv
Chessari, Jared; Kawai, Reiichiro; Shinozaki, Yuji; Yamada, Toshihiro Numerical methods for backward stochastic differential equations: a survey. (English) Zbl 1515.65023 Probab. Surv. 20, 486-567 (2023). MSC: 65C30 60H35 65C05 93E20 49L20 60H07 68T07 65-02 PDFBibTeX XMLCite \textit{J. Chessari} et al., Probab. Surv. 20, 486--567 (2023; Zbl 1515.65023) Full Text: DOI arXiv Link
Perninge, Magnus Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers. (English) Zbl 1509.60119 ESAIM, Control Optim. Calc. Var. 29, Paper No. 25, 28 p. (2023). MSC: 60H10 93E20 49L20 PDFBibTeX XMLCite \textit{M. Perninge}, ESAIM, Control Optim. Calc. Var. 29, Paper No. 25, 28 p. (2023; Zbl 1509.60119) Full Text: DOI arXiv
Jönsson, Johan; Perninge, Magnus Finite horizon impulse control of stochastic functional differential equations. (English) Zbl 1515.60197 SIAM J. Control Optim. 61, No. 2, 924-948 (2023). MSC: 60H10 60G40 93E20 62P20 91B99 PDFBibTeX XMLCite \textit{J. Jönsson} and \textit{M. Perninge}, SIAM J. Control Optim. 61, No. 2, 924--948 (2023; Zbl 1515.60197) Full Text: DOI arXiv
Saouli, Mostapha Abdelouahab Fractional backward SDEs with locally monotone coefficient and application to PDEs. (English) Zbl 1507.60081 Random Oper. Stoch. Equ. 31, No. 1, 25-45 (2023). MSC: 60H10 60H05 PDFBibTeX XMLCite \textit{M. A. Saouli}, Random Oper. Stoch. Equ. 31, No. 1, 25--45 (2023; Zbl 1507.60081) Full Text: DOI
Kim, Mun-Chol; O, Hun; Hwang, Ho-Jin Optimal stopping under \(g\)-expectation with \(L \exp \left(\mu\sqrt{2\log(1+L)}\right)\)-integrable reward process. (English) Zbl 1515.60111 J. Appl. Probab. 60, No. 1, 241-252 (2023). MSC: 60G40 60H10 60H30 PDFBibTeX XMLCite \textit{M.-C. Kim} et al., J. Appl. Probab. 60, No. 1, 241--252 (2023; Zbl 1515.60111) Full Text: DOI
Ning, Ning; Wu, Jing Multi-dimensional path-dependent forward-backward stochastic variational inequalities. (English) Zbl 1509.49008 Set-Valued Var. Anal. 31, No. 1, Paper No. 2, 25 p. (2023). MSC: 49J40 49J55 58E35 49K40 PDFBibTeX XMLCite \textit{N. Ning} and \textit{J. Wu}, Set-Valued Var. Anal. 31, No. 1, Paper No. 2, 25 p. (2023; Zbl 1509.49008) Full Text: DOI
Cui, Fengfeng; Zhao, Weidong Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients. (English) Zbl 1499.60181 Stat. Probab. Lett. 193, Article ID 109718, 8 p. (2023). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{F. Cui} and \textit{W. Zhao}, Stat. Probab. Lett. 193, Article ID 109718, 8 p. (2023; Zbl 1499.60181) Full Text: DOI
Callegaro, Giorgia; Gnoatto, Alessandro; Grasselli, Martino A fully quantization-based scheme for FBSDEs. (English) Zbl 1511.65011 Appl. Math. Comput. 441, Article ID 127666, 18 p. (2023). MSC: 65C30 60H10 60H20 65C40 PDFBibTeX XMLCite \textit{G. Callegaro} et al., Appl. Math. Comput. 441, Article ID 127666, 18 p. (2023; Zbl 1511.65011) Full Text: DOI arXiv
Kharrat, Mohamed Pricing options under time-fractional model using Adomian decomposition. (English) Zbl 1521.91387 Pinto, Carla M. A. (ed.), Nonlinear dynamics and complexity. Mathematical modelling of real-world problems. Cham: Springer. Nonlinear Syst. Complex. 36, 429-445 (2022). MSC: 91G60 35R11 35Q91 91G20 PDFBibTeX XMLCite \textit{M. Kharrat}, Nonlinear Syst. Complex. 36, 429--445 (2022; Zbl 1521.91387) Full Text: DOI
Han, Qiang; Ji, Shaolin A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo. (English) Zbl 1505.65002 Methodol. Comput. Appl. Probab. 24, No. 4, 2403-2426 (2022). MSC: 65C05 60H35 PDFBibTeX XMLCite \textit{Q. Han} and \textit{S. Ji}, Methodol. Comput. Appl. Probab. 24, No. 4, 2403--2426 (2022; Zbl 1505.65002) Full Text: DOI
El Asri, Brahim; Oufdil, Khalid; Ourkiya, Nacer One-dimensional reflected BSDEs with two barriers under logarithmic growth and applications. (English) Zbl 1505.91051 Probab. Math. Stat. 42, No. 2, 251-282 (2022). MSC: 91A15 60H15 49L25 PDFBibTeX XMLCite \textit{B. El Asri} et al., Probab. Math. Stat. 42, No. 2, 251--282 (2022; Zbl 1505.91051) Full Text: DOI arXiv
Hu, Ying; Moreau, Remi; Wang, Falei Quadratic mean-field reflected BSDEs. (English) Zbl 1502.60094 Probab. Uncertain. Quant. Risk 7, No. 3, 169-194 (2022). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{Y. Hu} et al., Probab. Uncertain. Quant. Risk 7, No. 3, 169--194 (2022; Zbl 1502.60094) Full Text: DOI arXiv
Deschatre, Thomas; Mikael, Joseph Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing. (English) Zbl 1504.91335 MathS In Action 11, 243-258 (2022). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 60G40 90C27 91G20 PDFBibTeX XMLCite \textit{T. Deschatre} and \textit{J. Mikael}, MathS In Action 11, 243--258 (2022; Zbl 1504.91335) Full Text: DOI arXiv
Zhou, Quan; Sun, Yabing High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion. (English) Zbl 1504.65020 Discrete Contin. Dyn. Syst., Ser. B 27, No. 8, 4387-4413 (2022). MSC: 65C30 60H10 60H35 PDFBibTeX XMLCite \textit{Q. Zhou} and \textit{Y. Sun}, Discrete Contin. Dyn. Syst., Ser. B 27, No. 8, 4387--4413 (2022; Zbl 1504.65020) Full Text: DOI
Pun, Chi Seng Robust classical-impulse stochastic control problems in an infinite horizon. (English) Zbl 1503.49032 Math. Methods Oper. Res. 96, No. 2, 291-312 (2022). MSC: 49N25 49J40 49N10 PDFBibTeX XMLCite \textit{C. S. Pun}, Math. Methods Oper. Res. 96, No. 2, 291--312 (2022; Zbl 1503.49032) Full Text: DOI
Nie, Tianyang; Rutkowski, Marek Reflected and doubly reflected BSDEs driven by RCLL martingales. (English) Zbl 1498.60231 Stoch. Dyn. 22, No. 5, Article ID 2250012, 34 p. (2022). MSC: 60H10 60G44 60H30 91G30 91G40 PDFBibTeX XMLCite \textit{T. Nie} and \textit{M. Rutkowski}, Stoch. Dyn. 22, No. 5, Article ID 2250012, 34 p. (2022; Zbl 1498.60231) Full Text: DOI arXiv
El Asri, Brahim; Hamadene, Said; Oufdil, Khalid On the stochastic control-stopping problem. (English) Zbl 1498.93777 J. Differ. Equations 336, 387-426 (2022). MSC: 93E20 60G40 60H30 49L25 PDFBibTeX XMLCite \textit{B. El Asri} et al., J. Differ. Equations 336, 387--426 (2022; Zbl 1498.93777) Full Text: DOI arXiv
El Jamali, Mohamed; El Otmani, Mohamed Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier. (English) Zbl 1502.60092 J. Integral Equations Appl. 34, No. 2, 201-214 (2022). MSC: 60H10 60G51 91G20 60G40 PDFBibTeX XMLCite \textit{M. El Jamali} and \textit{M. El Otmani}, J. Integral Equations Appl. 34, No. 2, 201--214 (2022; Zbl 1502.60092) Full Text: DOI
Bouhadou, Siham; Hilbert, Astrid; Ouknine, Youssef RBSDEs with optional barriers: monotone approximation. (English) Zbl 1498.60200 Probab. Uncertain. Quant. Risk 7, No. 2, 67-84 (2022). MSC: 60H10 60G40 PDFBibTeX XMLCite \textit{S. Bouhadou} et al., Probab. Uncertain. Quant. Risk 7, No. 2, 67--84 (2022; Zbl 1498.60200) Full Text: DOI
Epstein, Larry G.; Ji, Shaolin Optimal learning under robustness and time-consistency. (English) Zbl 1497.91086 Oper. Res. 70, No. 3, 1317-1329 (2022). MSC: 91B06 PDFBibTeX XMLCite \textit{L. G. Epstein} and \textit{S. Ji}, Oper. Res. 70, No. 3, 1317--1329 (2022; Zbl 1497.91086) Full Text: DOI arXiv
Rozkosz, Andrzej On perpetual American options in a multidimensional Black-Scholes model. (English) Zbl 1492.91386 Stochastics 94, No. 5, 723-744 (2022). MSC: 91G20 60G40 60H10 60H30 PDFBibTeX XMLCite \textit{A. Rozkosz}, Stochastics 94, No. 5, 723--744 (2022; Zbl 1492.91386) Full Text: DOI arXiv
Chassagneux, Jean-François; Nadtochiy, Sergey; Richou, Adrien Reflected BSDEs in non-convex domains. (English) Zbl 1497.60011 Probab. Theory Relat. Fields 183, No. 3-4, 1237-1284 (2022). Reviewer: Andrew Wade (Durham) MSC: 60D05 60G65 60J60 PDFBibTeX XMLCite \textit{J.-F. Chassagneux} et al., Probab. Theory Relat. Fields 183, No. 3--4, 1237--1284 (2022; Zbl 1497.60011) Full Text: DOI arXiv
Perninge, Magnus Sequential systems of reflected backward stochastic differential equations with application to impulse control. (English) Zbl 1493.60101 Appl. Math. Optim. 86, No. 2, Paper No. 19, 59 p. (2022). MSC: 60H15 49N25 91A23 91A15 60J65 PDFBibTeX XMLCite \textit{M. Perninge}, Appl. Math. Optim. 86, No. 2, Paper No. 19, 59 p. (2022; Zbl 1493.60101) Full Text: DOI
Mohamed, Kharrat Analytical solution of American cull option under fractional Black and Scholes model. (English) Zbl 1496.91089 Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 29, No. 2, 143-148 (2022). MSC: 91G20 60G40 35R11 PDFBibTeX XMLCite \textit{K. Mohamed}, Dyn. Contin. Discrete Impuls. Syst., Ser. B, Appl. Algorithms 29, No. 2, 143--148 (2022; Zbl 1496.91089) Full Text: Link Link
Kharrat, Mohamed Pricing European and American options under fractional model. (English) Zbl 1492.91377 Palest. J. Math. 11, Spec. Iss. II, 63-73 (2022). MSC: 91G20 60G40 35R11 91G60 PDFBibTeX XMLCite \textit{M. Kharrat}, Palest. J. Math. 11, 63--73 (2022; Zbl 1492.91377) Full Text: Link
Amami, Rim; Pontier, Monique; Abidi, Hani Infinite horizon impulse control problem with jumps and continuous switching costs. (English) Zbl 1499.93039 Arab J. Math. Sci. 28, No. 1, 2-36 (2022). MSC: 93C27 93E20 60J74 35R60 PDFBibTeX XMLCite \textit{R. Amami} et al., Arab J. Math. Sci. 28, No. 1, 2--36 (2022; Zbl 1499.93039) Full Text: DOI
Sun, Dingqian; Liang, Gechun; Tang, Shanjian Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection. (English) Zbl 1487.65012 Probab. Uncertain. Quant. Risk 7, No. 1, 13-30 (2022). MSC: 65C30 60H10 60H30 PDFBibTeX XMLCite \textit{D. Sun} et al., Probab. Uncertain. Quant. Risk 7, No. 1, 13--30 (2022; Zbl 1487.65012) Full Text: DOI arXiv
Teng, Long Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations. (English) Zbl 1510.65274 Appl. Math. Comput. 426, Article ID 127119, 19 p. (2022). MSC: 65M75 60H35 65C30 PDFBibTeX XMLCite \textit{L. Teng}, Appl. Math. Comput. 426, Article ID 127119, 19 p. (2022; Zbl 1510.65274) Full Text: DOI arXiv
Falkowski, Adrian; Słomiński, Leszek Backward stochastic differential equations with mean reflection and two constraints. (English) Zbl 1511.60083 Bull. Sci. Math. 176, Article ID 103117, 31 p. (2022). Reviewer: Romeo Negrea (Timişoara) MSC: 60H10 60G40 PDFBibTeX XMLCite \textit{A. Falkowski} and \textit{L. Słomiński}, Bull. Sci. Math. 176, Article ID 103117, 31 p. (2022; Zbl 1511.60083) Full Text: DOI
Bayer, Christian; Qiu, Jinniao; Yao, Yao Pricing options under rough volatility with backward SPDEs. (English) Zbl 1484.91469 SIAM J. Financ. Math. 13, No. 1, 179-212 (2022). MSC: 91G20 60H15 60G40 91G60 PDFBibTeX XMLCite \textit{C. Bayer} et al., SIAM J. Financ. Math. 13, No. 1, 179--212 (2022; Zbl 1484.91469) Full Text: DOI arXiv
Arharas, Ihsan; Bouhadou, Siham; Ouknine, Youssef Doubly reflected backward stochastic differential equations in the predictable setting. (English) Zbl 1498.60193 J. Theor. Probab. 35, No. 1, 115-141 (2022). MSC: 60H10 60H20 65C30 PDFBibTeX XMLCite \textit{I. Arharas} et al., J. Theor. Probab. 35, No. 1, 115--141 (2022; Zbl 1498.60193) Full Text: DOI arXiv
Cohen, Samuel N.; Treetanthiploet, Tanut Gittins’ theorem under uncertainty. (English) Zbl 1485.91060 Electron. J. Probab. 27, Paper No. 17, 48 p. (2022). MSC: 91B06 93E20 PDFBibTeX XMLCite \textit{S. N. Cohen} and \textit{T. Treetanthiploet}, Electron. J. Probab. 27, Paper No. 17, 48 p. (2022; Zbl 1485.91060) Full Text: DOI arXiv
Hu, Mingshang; Jiang, Lianzi; Wang, Falei An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion. (English) Zbl 1490.60187 J. Math. Anal. Appl. 508, No. 2, Article ID 125893, 22 p. (2022). MSC: 60H15 60G65 PDFBibTeX XMLCite \textit{M. Hu} et al., J. Math. Anal. Appl. 508, No. 2, Article ID 125893, 22 p. (2022; Zbl 1490.60187) Full Text: DOI
Bénézet, Cyril; Chassagneux, Jean-François; Richou, Adrien Switching problems with controlled randomisation and associated obliquely reflected BSDEs. (English) Zbl 1483.60077 Stochastic Processes Appl. 144, 23-71 (2022). MSC: 60H10 93E20 PDFBibTeX XMLCite \textit{C. Bénézet} et al., Stochastic Processes Appl. 144, 23--71 (2022; Zbl 1483.60077) Full Text: DOI arXiv
Kharroubi, Idris Machine learning approximations for some parabolic partial differential equations. (English) Zbl 1498.65021 Grad. J. Math. 6, No. 1, 1-26 (2021). MSC: 65C30 60H10 60H35 68T05 PDFBibTeX XMLCite \textit{I. Kharroubi}, Grad. J. Math. 6, No. 1, 1--26 (2021; Zbl 1498.65021) Full Text: Link
Liu, Yue; Yang, Aijun; Lin, Jinguan; Yao, Jingjing A new method of valuing American options based on Brownian models. (English) Zbl 07532173 Commun. Stat., Theory Methods 50, No. 20, 4809-4821 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Liu} et al., Commun. Stat., Theory Methods 50, No. 20, 4809--4821 (2021; Zbl 07532173) Full Text: DOI
Bouhadou, Siham; Ouknine, Youssef Reflected BSDEs when the obstacle is predictable and nonlinear optimal stopping problem. (English) Zbl 1498.60157 Stoch. Dyn. 21, No. 8, Article ID 2150049, 40 p. (2021). MSC: 60G40 60H15 PDFBibTeX XMLCite \textit{S. Bouhadou} and \textit{Y. Ouknine}, Stoch. Dyn. 21, No. 8, Article ID 2150049, 40 p. (2021; Zbl 1498.60157) Full Text: DOI
Beck, Christian; Hutzenthaler, Martin; Jentzen, Arnulf On nonlinear Feynman-Kac formulas for viscosity solutions of semilinear parabolic partial differential equations. (English) Zbl 1490.60200 Stoch. Dyn. 21, No. 8, Article ID 2150048, 68 p. (2021). MSC: 60H30 35D40 35K58 PDFBibTeX XMLCite \textit{C. Beck} et al., Stoch. Dyn. 21, No. 8, Article ID 2150048, 68 p. (2021; Zbl 1490.60200) Full Text: DOI arXiv
Sarantsev, Andrey Penalty method for obliquely reflected diffusions. (English) Zbl 07441583 Lith. Math. J. 61, No. 4, 518-549 (2021). MSC: 60J60 60J55 60J65 60H10 PDFBibTeX XMLCite \textit{A. Sarantsev}, Lith. Math. J. 61, No. 4, 518--549 (2021; Zbl 07441583) Full Text: DOI arXiv
Li, Hanwu; Song, Yongsheng Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections. (English) Zbl 1474.60149 J. Theor. Probab. 34, No. 4, 2285-2314 (2021). MSC: 60H10 PDFBibTeX XMLCite \textit{H. Li} and \textit{Y. Song}, J. Theor. Probab. 34, No. 4, 2285--2314 (2021; Zbl 1474.60149) Full Text: DOI arXiv
Dai, Yin; Li, Ruinan Transportation cost inequality for backward stochastic differential equations with mean reflection. (English) Zbl 1474.60044 Stat. Probab. Lett. 177, Article ID 109167, 10 p. (2021). MSC: 60E15 60H10 PDFBibTeX XMLCite \textit{Y. Dai} and \textit{R. Li}, Stat. Probab. Lett. 177, Article ID 109167, 10 p. (2021; Zbl 1474.60044) Full Text: DOI
Kim, Mun-Chol; O, Hun A general comparison theorem for reflected BSDEs. (English) Zbl 1482.60076 Stat. Probab. Lett. 173, Article ID 109058, 11 p. (2021). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{M.-C. Kim} and \textit{H. O}, Stat. Probab. Lett. 173, Article ID 109058, 11 p. (2021; Zbl 1482.60076) Full Text: DOI
Marzougue, Mohamed Monotonic limit theorem for BSDEs with regulated trajectories. (English) Zbl 1482.60078 Stat. Probab. Lett. 176, Article ID 109151, 9 p. (2021). MSC: 60H10 60G17 PDFBibTeX XMLCite \textit{M. Marzougue}, Stat. Probab. Lett. 176, Article ID 109151, 9 p. (2021; Zbl 1482.60078) Full Text: DOI
Agram, Nacira; Djehiche, Boualem On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems. (English) Zbl 1475.60127 Syst. Control Lett. 155, Article ID 104989, 9 p. (2021). MSC: 60H20 45D05 45G10 60G40 PDFBibTeX XMLCite \textit{N. Agram} and \textit{B. Djehiche}, Syst. Control Lett. 155, Article ID 104989, 9 p. (2021; Zbl 1475.60127) Full Text: DOI arXiv
El Otmani, Mohamed Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process. (English) Zbl 1479.60112 Random Oper. Stoch. Equ. 29, No. 3, 173-195 (2021). MSC: 60H10 60H35 60H05 PDFBibTeX XMLCite \textit{M. El Otmani}, Random Oper. Stoch. Equ. 29, No. 3, 173--195 (2021; Zbl 1479.60112) Full Text: DOI
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao Corrigendum to: “Second-order reflected backward stochastic differential equations” and “Second-order BSDEs with general reflection and game options under uncertainty”. (English) Zbl 1489.60103 Ann. Appl. Probab. 31, No. 3, 1505-1522 (2021). MSC: 60H10 60H30 91G20 PDFBibTeX XMLCite \textit{A. Matoussi} et al., Ann. Appl. Probab. 31, No. 3, 1505--1522 (2021; Zbl 1489.60103) Full Text: DOI arXiv Link
Hu, Mingshang; Wang, Falei Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs. (English) Zbl 1480.60159 Stochastic Processes Appl. 141, 139-171 (2021). MSC: 60H10 60H30 PDFBibTeX XMLCite \textit{M. Hu} and \textit{F. Wang}, Stochastic Processes Appl. 141, 139--171 (2021; Zbl 1480.60159) Full Text: DOI arXiv
Jasso-Fuentes, Héctor; Menaldi, Jose-Luis; Vásquez-Rojas, Fidel Optimal stopping problems for a family of continuous-time Markov processes. (English) Zbl 1470.60113 Piunovskiy, Alexey (ed.) et al., Modern trends in controlled stochastic processes: theory and applications, V.III. Selected papers based on the presentations at the traditional Liverpool workshop on controlled stochastic processes, Liverpool, UK, July 2021. Cham: Springer. Emerg. Complex. Comput. 41, 57-86 (2021). MSC: 60G40 PDFBibTeX XMLCite \textit{H. Jasso-Fuentes} et al., Emerg. Complex. Comput. 41, 57--86 (2021; Zbl 1470.60113) Full Text: DOI
Maticiuc, Lucian; Răşcanu, Aurel \(L^p\)-variational solutions of multivalued backward stochastic differential equations. (English) Zbl 1477.60089 ESAIM, Control Optim. Calc. Var. 27, Paper No. 88, 73 p. (2021). MSC: 60H10 60F25 47J20 49J40 PDFBibTeX XMLCite \textit{L. Maticiuc} and \textit{A. Răşcanu}, ESAIM, Control Optim. Calc. Var. 27, Paper No. 88, 73 p. (2021; Zbl 1477.60089) Full Text: DOI arXiv
Berestycki, Julien; Brunet, Éric; Nolen, James; Penington, Sarah A free boundary problem arising from branching Brownian motion with selection. (English) Zbl 1475.35420 Trans. Am. Math. Soc. 374, No. 9, 6269-6329 (2021). Reviewer: Mariana Vega Smit (Bellingham) MSC: 35R35 35K85 82C22 35K20 PDFBibTeX XMLCite \textit{J. Berestycki} et al., Trans. Am. Math. Soc. 374, No. 9, 6269--6329 (2021; Zbl 1475.35420) Full Text: DOI arXiv
Yang, Zhou; Koo, Hyeng Keun; Shin, Yong Hyun Optimal retirement in a general market environment. (English) Zbl 1470.91253 Appl. Math. Optim. 84, No. 1, 1083-1130 (2021). MSC: 91G10 93E20 60H15 PDFBibTeX XMLCite \textit{Z. Yang} et al., Appl. Math. Optim. 84, No. 1, 1083--1130 (2021; Zbl 1470.91253) Full Text: DOI
Perninge, Magnus On the finite horizon optimal switching problem with random lag. (English) Zbl 1491.49013 Appl. Math. Optim. 84, No. 1, 355-397 (2021). Reviewer: Manuel D. Domínguez de la Iglesia (Ciudad de México) MSC: 49J55 60J20 PDFBibTeX XMLCite \textit{M. Perninge}, Appl. Math. Optim. 84, No. 1, 355--397 (2021; Zbl 1491.49013) Full Text: DOI arXiv
Sun, Dingqian The convergence rate from discrete to continuous optimal investment stopping problem. (English) Zbl 1475.60079 Chin. Ann. Math., Ser. B 42, No. 2, 259-280 (2021). MSC: 60G40 91G10 60H35 PDFBibTeX XMLCite \textit{D. Sun}, Chin. Ann. Math., Ser. B 42, No. 2, 259--280 (2021; Zbl 1475.60079) Full Text: DOI arXiv
Chen, Zhen-Qing; Feng, Xinwei Reflected backward stochastic differential equation with rank-based data. (English) Zbl 1469.60178 J. Theor. Probab. 34, No. 3, 1213-1247 (2021). MSC: 60H10 60H30 35K85 PDFBibTeX XMLCite \textit{Z.-Q. Chen} and \textit{X. Feng}, J. Theor. Probab. 34, No. 3, 1213--1247 (2021; Zbl 1469.60178) Full Text: DOI arXiv
Kim, Edward; Nie, Tianyang; Rutkowski, Marek American options in nonlinear markets. (English) Zbl 1484.91479 Electron. J. Probab. 26, Paper No. 90, 41 p. (2021). MSC: 91G20 60G40 60H30 PDFBibTeX XMLCite \textit{E. Kim} et al., Electron. J. Probab. 26, Paper No. 90, 41 p. (2021; Zbl 1484.91479) Full Text: DOI
Klimsiak, Tomasz; Rzymowski, Maurycy Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space. (English) Zbl 1480.60160 Electron. J. Probab. 26, Paper No. 91, 24 p. (2021). MSC: 60H10 60G40 PDFBibTeX XMLCite \textit{T. Klimsiak} and \textit{M. Rzymowski}, Electron. J. Probab. 26, Paper No. 91, 24 p. (2021; Zbl 1480.60160) Full Text: DOI arXiv
Foresta, Nahuel Optimal stopping of marked point processes and reflected backward stochastic differential equations. (English) Zbl 1478.60184 Appl. Math. Optim. 83, No. 3, 1219-1245 (2021). Reviewer: Dejun Luo (Beijing) MSC: 60H15 60G40 60J65 PDFBibTeX XMLCite \textit{N. Foresta}, Appl. Math. Optim. 83, No. 3, 1219--1245 (2021; Zbl 1478.60184) Full Text: DOI arXiv
Marzougue, Mohamed; El Otmani, Mohamed BSDEs with jumps and two completely separated irregular barriers in a general filtration. (English) Zbl 1469.60190 ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 1, 761-792 (2021). MSC: 60H10 60G40 60H20 PDFBibTeX XMLCite \textit{M. Marzougue} and \textit{M. El Otmani}, ALEA, Lat. Am. J. Probab. Math. Stat. 18, No. 1, 761--792 (2021; Zbl 1469.60190) Full Text: Link
Jing, Yuanyuan; Li, Zhi Averaging principle for backward stochastic differential equations. (English) Zbl 1465.60051 Discrete Dyn. Nat. Soc. 2021, Article ID 6615989, 10 p. (2021). MSC: 60H10 34C29 PDFBibTeX XMLCite \textit{Y. Jing} and \textit{Z. Li}, Discrete Dyn. Nat. Soc. 2021, Article ID 6615989, 10 p. (2021; Zbl 1465.60051) Full Text: DOI
Denis, Laurent; Matoussi, Anis; Zhang, Jing Quasilinear stochastic PDEs with two obstacles: probabilistic approach. (English) Zbl 1460.60063 Stochastic Processes Appl. 133, 1-40 (2021). Reviewer: Wei Liu (Xuzhou) MSC: 60H15 35R60 31B15 PDFBibTeX XMLCite \textit{L. Denis} et al., Stochastic Processes Appl. 133, 1--40 (2021; Zbl 1460.60063) Full Text: DOI arXiv
Berrhazi, Badr-eddine; El Fatini, Mohamed; Hilbert, Astrid; Mrhardy, Naoual; Pettersson, Roger Reflected backward doubly stochastic differential equations with discontinuous barrier. (English) Zbl 1490.60141 Stochastics 92, No. 7, 1100-1124 (2020). MSC: 60H10 PDFBibTeX XMLCite \textit{B.-e. Berrhazi} et al., Stochastics 92, No. 7, 1100--1124 (2020; Zbl 1490.60141) Full Text: DOI
Akdim, Khadija; Haddadi, Mouna; Ouknine, Youssef Strong Snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale. (English) Zbl 1490.60073 Stochastics 92, No. 3, 335-355 (2020). MSC: 60G07 60H10 PDFBibTeX XMLCite \textit{K. Akdim} et al., Stochastics 92, No. 3, 335--355 (2020; Zbl 1490.60073) Full Text: DOI
Dong, Yuchao; Yang, Xue; Zhang, Jing The obstacle problem for quasilinear stochastic integral-partial differential equations. (English) Zbl 1523.60117 Stochastics 92, No. 2, 297-333 (2020). Reviewer: Iulian Stoleriu (Iaşi) MSC: 60H20 60G46 35R60 PDFBibTeX XMLCite \textit{Y. Dong} et al., Stochastics 92, No. 2, 297--333 (2020; Zbl 1523.60117) Full Text: DOI arXiv
Huang, Zongyuan; Wang, Haiyang; Wu, Zhen; Yu, Zhiyong Quadratic reflected BSDEs and related obstacle problems for PDEs. (English) Zbl 07549051 Commun. Stat., Theory Methods 49, No. 3, 567-589 (2020). MSC: 60H10 35K10 PDFBibTeX XMLCite \textit{Z. Huang} et al., Commun. Stat., Theory Methods 49, No. 3, 567--589 (2020; Zbl 07549051) Full Text: DOI
Wu, Zhen; Xu, Zhenda A kind of stochastic recursive zero-sum differential game problem with double obstacles constraint. (English) Zbl 07529959 Commun. Stat., Theory Methods 49, No. 21, 5356-5370 (2020). MSC: 62-XX PDFBibTeX XMLCite \textit{Z. Wu} and \textit{Z. Xu}, Commun. Stat., Theory Methods 49, No. 21, 5356--5370 (2020; Zbl 07529959) Full Text: DOI
Xu, Zhenda Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control. (English) Zbl 1485.93642 Adv. Difference Equ. 2020, Paper No. 381, 20 p. (2020). MSC: 93E20 60H10 49K45 60G40 91G80 PDFBibTeX XMLCite \textit{Z. Xu}, Adv. Difference Equ. 2020, Paper No. 381, 20 p. (2020; Zbl 1485.93642) Full Text: DOI
Akdim, Khadija Reflected backward SDEs in a convex polyhedron. (English) Zbl 1478.60170 Dos Santos, Serge (ed.) et al., Recent advances in mathematics and technology. Proceedings of the first international conference on technology, engineering, and mathematics, TEM18, Kenitra, Morocco, March 26–27, 2018. Cham: Birkhäuser. Appl. Numer. Harmon. Anal., 21-31 (2020). MSC: 60H10 60G60 35R60 PDFBibTeX XMLCite \textit{K. Akdim}, in: Recent advances in mathematics and technology. Proceedings of the first international conference on technology, engineering, and mathematics, TEM18, Kenitra, Morocco, March 26--27, 2018. Cham: Birkhäuser. 21--31 (2020; Zbl 1478.60170) Full Text: DOI
Chassagneux, Jean-François; Richou, Adrien Obliquely reflected backward stochastic differential equations. (English. French summary) Zbl 1478.60172 Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 4, 2868-2896 (2020). MSC: 60H10 60H05 PDFBibTeX XMLCite \textit{J.-F. Chassagneux} and \textit{A. Richou}, Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 4, 2868--2896 (2020; Zbl 1478.60172) Full Text: DOI Euclid
Poursepahi, Samian Zahra; Yaghouti, Mohammad Reza Some results on reflected forward-backward stochastic differential equations. (English) Zbl 1474.60154 Comput. Methods Differ. Equ. 8, No. 3, 480-492 (2020). MSC: 60H10 65C30 PDFBibTeX XMLCite \textit{S. Z. Poursepahi} and \textit{M. R. Yaghouti}, Comput. Methods Differ. Equ. 8, No. 3, 480--492 (2020; Zbl 1474.60154) Full Text: DOI
Marzougue, Mohamed; El Otmani, Mohamed Predictable solution for reflected BSDEs when the obstacle is not right-continuous. (English) Zbl 1457.60090 Random Oper. Stoch. Equ. 28, No. 4, 269-279 (2020). MSC: 60H10 60G40 60G44 60H20 PDFBibTeX XMLCite \textit{M. Marzougue} and \textit{M. El Otmani}, Random Oper. Stoch. Equ. 28, No. 4, 269--279 (2020; Zbl 1457.60090) Full Text: DOI
Cao, Dong; Tang, Shanjian Reflected quadratic BSDEs driven by \(G\)-Brownian motions. (English) Zbl 1456.60142 Chin. Ann. Math., Ser. B 41, No. 6, 873-928 (2020). MSC: 60H10 60G65 PDFBibTeX XMLCite \textit{D. Cao} and \textit{S. Tang}, Chin. Ann. Math., Ser. B 41, No. 6, 873--928 (2020; Zbl 1456.60142) Full Text: DOI arXiv
Briand, Philippe; Cardaliaguet, Pierre; Chaudru de Raynal, Paul-Éric; Hu, Ying Forward and backward stochastic differential equations with normal constraints in law. (English) Zbl 1454.60075 Stochastic Processes Appl. 130, No. 12, 7021-7097 (2020). MSC: 60H10 PDFBibTeX XMLCite \textit{P. Briand} et al., Stochastic Processes Appl. 130, No. 12, 7021--7097 (2020; Zbl 1454.60075) Full Text: DOI arXiv HAL
Li, Hanwu; Peng, Shige Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle. (English) Zbl 1454.60081 Stochastic Processes Appl. 130, No. 11, 6556-6579 (2020). MSC: 60H10 60G65 PDFBibTeX XMLCite \textit{H. Li} and \textit{S. Peng}, Stochastic Processes Appl. 130, No. 11, 6556--6579 (2020; Zbl 1454.60081) Full Text: DOI arXiv
Eddahbi, M’hamed; Fakhouri, Imade; Ouknine, Youssef Reflected BSDEs with jumps in time-dependent convex càdlàg domains. (English) Zbl 1454.60076 Stochastic Processes Appl. 130, No. 11, 6515-6555 (2020). MSC: 60H10 60H20 PDFBibTeX XMLCite \textit{M. Eddahbi} et al., Stochastic Processes Appl. 130, No. 11, 6515--6555 (2020; Zbl 1454.60076) Full Text: DOI
Marzougue, Mohamed Reflected BDSDEs with stochastic monotone generator and application to valuing American options. (English) Zbl 1457.91386 Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050034, 26 p. (2020). MSC: 91G20 60G40 60H10 PDFBibTeX XMLCite \textit{M. Marzougue}, Int. J. Theor. Appl. Finance 23, No. 5, Article ID 2050034, 26 p. (2020; Zbl 1457.91386) Full Text: DOI