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

Citations

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Cited by:

  1. 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.
  2. 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.
  3. Libo Li & Ruyi Liu & Marek Rutkowski, 2026. "Vulnerable European and American options in a hazard-process model," Finance and Stochastics, Springer, vol. 30(2), pages 553-596, April.
  4. Hilbert, Astrid & Jarni, Imane & Ouknine, Youssef, 2020. "On reflected stochastic differential equations driven by regulated semimartingales," Statistics & Probability Letters, Elsevier, vol. 167(C).
  5. 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.
  6. Elmansouri, Badr & Marzougue, Mohamed, 2026. "Generalized reflected backward doubly SDEs with irregular barriers and continuous coefficients," Statistics & Probability Letters, Elsevier, vol. 231(C).
  7. Marzougue, Mohamed, 2020. "A note on optional Snell envelopes and reflected backward SDEs," Statistics & Probability Letters, Elsevier, vol. 165(C).
  8. Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2019. "European options in a non-linear incomplete market model with default," Working Papers hal-02025833, HAL.
  9. Marzougue, Mohamed, 2021. "Monotonic limit theorem for BSDEs with regulated trajectories," Statistics & Probability Letters, Elsevier, vol. 176(C).
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. Libo Li & Ruyi Liu & Marek Rutkowski, 2022. "Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs," Papers 2212.12854, arXiv.org.
  16. Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2020. "European options in a non-linear incomplete market model with default," Post-Print hal-02025833, HAL.
  17. Qian, Hongchao, 2026. "Mean reflected backward stochastic partial differential equations," Statistics & Probability Letters, Elsevier, vol. 229(C).
  18. Daniel Chee & Noufel Frikha & Libo Li, 2026. "A Monotone Limit Approach to Entropy-Regularized American Options," Papers 2602.18062, arXiv.org.
  19. Miryana Grigorova & Marie-Claire Quenez & Agnès Sulem, 2019. "American options in a non-linear incomplete market model with default," Working Papers hal-02025835, HAL.
  20. 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.
  21. Qian, Hongchao, 2025. "Mean reflected backward stochastic differential equations with jumps in a convex domain," Statistics & Probability Letters, Elsevier, vol. 223(C).
  22. 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.
  23. Miryana Grigorova & Ohood Aldalbahi, 2026. "Non-linear optimal stopping with Bermudan strategies: the infinite horizon case," Papers 2608.08299, arXiv.org.
  24. 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.
  25. Marco Rodrigues, 2025. "Robust Hedging of American Options via Aggregated Snell Envelopes," Papers 2506.14553, arXiv.org.
  26. Imane Jarni & Youssef Ouknine, 2021. "On Reflection with Two-Sided Jumps," Journal of Theoretical Probability, Springer, vol. 34(4), pages 1811-1830, December.
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