2 papers
math.PR2014
Backward SDE Representation for Stochastic Control Problems with Non Dominated Controlled Intensity
Sébastien Choukroun, Andrea Cosso
We are interested in stochastic control problems coming from mathematical finance and, in particular, related to model uncertainty, where the uncertainty affects both volatility an…
math.PR2013
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
Sébastien Choukroun, Andrea Cosso, Huyen Pham
We study a class of reflected backward stochastic differential equations with nonpositive jumps and upper barrier. Existence and uniqueness of a minimal solution is proved by a dou…