Reflected BSDEs driven by inhomogeneous simple Lévy processes with RCLL barrier-Reference-Cited by-同舟云学术

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Reflected BSDEs driven by inhomogeneous simple Lévy processes with RCLL barrier

Published:2022-06-01 Issue:2 Volume:34 Page:
ISSN:0897-3962
Container-title:Journal of Integral Equations and Applications
language:
Short-container-title:J. Integral Equations Applications

Author:

El Jamali Mohamed,El Otmani Mohamed

Publisher

Rocky Mountain Mathematics Consortium

Subject

Applied Mathematics,Numerical Analysis

Reference30 articles.

1. [1] K. Bahlali, M. Eddahbi, and E. Essaky, “BSDE associated with Lévy processes and application to PDIE”, J. Appl. Math. Stochastic Anal. 16:1 (2003), 1–17.

2. [2] G. Barles, R. Buckdahn, and E. Pardoux, “Backward stochastic differential equations and integral-partial differential equations”, Stochastics Stochastics Rep. 60:1-2 (1997), 57–83.

3. [3] W. Chen and S. Wang, “A finite difference method for pricing European and American options under a geometric Lévy process”, J. Ind. Manag. Optim. 11:1 (2015), 241–264.

4. [4] R. Cont and P. Tankov, Financial modelling with jump processes, CRC, Boca Raton, FL, 2004.

5. [5] M. El Jamali and M. El Otmani, “BSDE with rcll reflecting barrier driven by a Lévy process”, Random Oper. Stoch. Equ. 28:1 (2020), 63–77.

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1. PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS;International Journal of Theoretical and Applied Finance;2023-12-02

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