Reflected BSDEs when the obstacle is not right-continuous and optimal stopping

Citations

Cited by:

1. Libo Li & Ruyi Liu & Marek Rutkowski, 2022. "Vulnerable European and American Options in a Market Model with Optional Hazard Process," Papers 2212.12860, arXiv.org.
2. Qian, Hongchao, 2026. "Mean reflected backward stochastic partial differential equations," Statistics & Probability Letters, Elsevier, vol. 229(C).
3. Marzougue, Mohamed, 2021. "Monotonic limit theorem for BSDEs with regulated trajectories," Statistics & Probability Letters, Elsevier, vol. 176(C).
4. Daniel Chee & Noufel Frikha & Libo Li, 2026. "A Monotone Limit Approach to Entropy-Regularized American Options," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-05520656, HAL.
5. Dumitrescu, Roxana & Elie, Romuald & Sabbagh, Wissal & Zhou, Chao, 2023. "A new Mertens decomposition of Yg,ξ-submartingale systems. Application to BSDEs with weak constraints at stopping times," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 183-205.
6. Ihsan Arharas & Siham Bouhadou & Youssef Ouknine, 2022. "Doubly Reflected Backward Stochastic Differential Equations in the Predictable Setting," Journal of Theoretical Probability, Springer, vol. 35(1), pages 115-141, March.
7. Grigorova, Miryana & Quenez, Marie-Claire & Sulem, Agnès, 2021. "American options in a non-linear incomplete market model with default," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 479-512.
8. Gechun Liang & Wei Wei & Zhen Wu & Zhenda Xu, 2024. "Recursive Optimal Stopping with Poisson Stopping Constraints," Papers 2407.17975, arXiv.org, revised May 2025.
9. Daniel Chee & Noufel Frikha & Libo Li, 2026. "A Monotone Limit Approach to Entropy-Regularized American Options," Papers 2602.18062, arXiv.org.
10. Daniel Chee & Noufel Frikha & Libo Li, 2026. "Entropy-regularized penalization schemes for American options and reflected BSDEs with singular generators," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-05520660, HAL.
11. Ihsan Arharas & Youssef Ouknine, 2024. "Reflected and Doubly Reflected Backward Stochastic Differential Equations with Irregular Obstacles and a Large Set of Stopping Strategies," Journal of Theoretical Probability, Springer, vol. 37(2), pages 1001-1038, June.
12. Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2019. "American options in a non-linear incomplete market model with default," Working Papers hal-02025835, HAL.
13. Hilbert, Astrid & Jarni, Imane & Ouknine, Youssef, 2020. "On reflected stochastic differential equations driven by regulated semimartingales," Statistics & Probability Letters, Elsevier, vol. 167(C).
14. Hanwu Li & Guomin Liu, 2024. "Multi-dimensional Reflected Backward Stochastic Differential Equations Driven by G-Brownian Motion with Diagonal Generators," Journal of Theoretical Probability, Springer, vol. 37(3), pages 2615-2645, September.
15. Klimsiak, Tomasz, 2021. "Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games," Stochastic Processes and their Applications, Elsevier, vol. 134(C), pages 208-239.
16. Qian, Hongchao, 2025. "Mean reflected backward stochastic differential equations with jumps in a convex domain," Statistics & Probability Letters, Elsevier, vol. 223(C).
17. Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2021. "American options in a non-linear incomplete market model with default," Post-Print hal-02025835, HAL.
18. Daniel Chee & Noufel Frikha & Libo Li, 2026. "Entropy-regularized penalization schemes and reflected BSDEs with singular generators," Papers 2602.18078, arXiv.org, revised Mar 2026.
19. Grigorova, Miryana & Quenez, Marie-Claire & Sulem, Agnès, 2019. "Superhedging prices of European and American options in a non-linear incomplete market with default," Center for Mathematical Economics Working Papers 607, Center for Mathematical Economics, Bielefeld University.
20. Libo Li & Ruyi Liu & Marek Rutkowski, 2022. "Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs," Papers 2212.12854, arXiv.org.
21. Abdelkarim Oualaid & Khaled Bahlali & Youssef Ouknine, 2023. "Reflected Backward Stochastic Differential Equations Associated to Jump Markov Processes and Application to Partial Differential Equations," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1400-1436, September.
22. Marco Rodrigues, 2025. "Robust Hedging of American Options via Aggregated Snell Envelopes," Papers 2506.14553, arXiv.org.
23. Marzougue, Mohamed, 2020. "A note on optional Snell envelopes and reflected backward SDEs," Statistics & Probability Letters, Elsevier, vol. 165(C).
24. Li, Hanwu, 2024. "Backward stochastic differential equations with double mean reflections," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
25. Imane Jarni & Youssef Ouknine, 2021. "On Reflection with Two-Sided Jumps," Journal of Theoretical Probability, Springer, vol. 34(4), pages 1811-1830, December.
26. Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2019. "European options in a non-linear incomplete market model with default," Working Papers hal-02025833, HAL.
27. Grigorova, Miryana & Imkeller, Peter & Ouknine, Youssef & Quenez, Marie-Claire, 2020. "Optimal stopping with f-expectations: The irregular case," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1258-1288.
28. Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2020. "European options in a non-linear incomplete market model with default," Post-Print hal-02025833, HAL.