Free Access
Issue
ESAIM: PS
Volume 11, February 2007
Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
Page(s) 3 - 22
DOI https://doi.org/10.1051/ps:2007002
Published online 01 March 2007
  1. M. Alario-Nazaret, Jeux de Dynkin. Ph.D. dissertation, Univ. Franche-Comté, Besançon (1982).
  2. M. Alario-Nazaret, J.P. Lepeltier and B. Marchal, Dynkin games. Lect. Notes Control Inform. Sci. 43 (1982) 23–42. [CrossRef]
  3. J.M. Bismut, Sur un problème de Dynkin. Z.Wahrsch. Verw. Gebiete 39 (1977) 31–53. [CrossRef]
  4. J. Cvitanic and I. Karatzas, Backward Stochastic Differential Equations with Reflection and Dynkin Games. Ann. Probab. 24 (1996) 2024–2056. [CrossRef] [MathSciNet]
  5. N. El Karoui, Les aspects probabilistes du contrôle stochastique, in P.L. Hennequin Ed., Ecole d'été de Saint-Flour. Lect. Notes Math. 876 (1979) 73–238. [CrossRef]
  6. N. El Karoui, C. Kapoudjian, E. Pardoux, S. Peng and M.C. Quenez, Reflected Solutions of Backward SDE and Related Obstacle Problems for PDEs. Ann. Probab. 25 (1997) 702–737. [CrossRef] [MathSciNet]
  7. S. Hamadène, Reflected BSDE's with Discontinuous Barrier and Application. Stochastics and Stochastic Reports 74 (2002) 571–596.
  8. J.P. Lepeltier and J. San Martín, Backward SDE's with two barriers and continuous coefficient. An existence result. J. Appl. Probab. 41 (2004) 162–175. [CrossRef] [MathSciNet]
  9. J.P. Lepeltier and M. Xu, Penalization method for Reflected Backward Stochastic Differential Equations with one RCLL barrier. Statistics Probab. Lett. 75 (2005) 58–66. [CrossRef]
  10. E. Pardoux and S. Peng, Adapted solutions of Backward Stochastic Differential Equations. Systems Control Lett. 14 (1990) 51–61. [CrossRef] [MathSciNet]
  11. S. Peng and M. Xu, Smallest g-Supermartingales and related Reflected BSDEs. Annales of I.H.P. 41 (2005) 605–630.

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