A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT (Q3520440): Difference between revisions
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| Property / cites work: One-dimensional backward stochastic differential equations whose coefficient is monotonic in \(y\) and non-Lipschitz in \(z\) / rank | |||
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| Property / cites work: Embedding in Brownian motion with drift and the Azéma-Yor construction / rank | |||
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| Property / cites work: Embedding submartingales in wiener processes with drift, with applications to sequential analysis / rank | |||
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| Property / cites work: Backward stochastic differential equations and partial differential equations with quadratic growth. / rank | |||
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| Property / cites work: Q5524051 / rank | |||
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Latest revision as of 15:26, 28 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT |
scientific article |
Statements
A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT (English)
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26 August 2008
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Skorokhod embedding
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Brownian motion
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diffusion
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stopping time
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control theory
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BSDE
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quadratic growth
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Malliavin calculus
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