Second order reflected backward stochastic differential equations (Q389069): Difference between revisions
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The second-order reflected backward stochastic differential equation: \[ Y_t= \xi+ \int^T_t\widehat F(Y_s, Z_s)\,ds- \int^T_t Z_s dB_s+ K_T- K_t,\quad 0\leq t\leq T,\tag{1} \] is considered. Under certain assumptions of Lipschitz type, the authors show the representation formula of the solution of (1) and prove the uniqueness of the solution. They also show some properties of the solution and a comparison theorem. The results are applied to the pricing of American options. | |||
Property / review text: The second-order reflected backward stochastic differential equation: \[ Y_t= \xi+ \int^T_t\widehat F(Y_s, Z_s)\,ds- \int^T_t Z_s dB_s+ K_T- K_t,\quad 0\leq t\leq T,\tag{1} \] is considered. Under certain assumptions of Lipschitz type, the authors show the representation formula of the solution of (1) and prove the uniqueness of the solution. They also show some properties of the solution and a comparison theorem. The results are applied to the pricing of American options. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Maria Stolarczyk / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6247415 / rank | |||
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Property / zbMATH Keywords | |||
second-order reflected backward | |||
Property / zbMATH Keywords: second-order reflected backward / rank | |||
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stochstic differential equations | |||
Property / zbMATH Keywords: stochstic differential equations / rank | |||
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Property / zbMATH Keywords | |||
American options | |||
Property / zbMATH Keywords: American options / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1201.0746 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 11:00, 30 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Second order reflected backward stochastic differential equations |
scientific article |
Statements
Second order reflected backward stochastic differential equations (English)
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17 January 2014
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The second-order reflected backward stochastic differential equation: \[ Y_t= \xi+ \int^T_t\widehat F(Y_s, Z_s)\,ds- \int^T_t Z_s dB_s+ K_T- K_t,\quad 0\leq t\leq T,\tag{1} \] is considered. Under certain assumptions of Lipschitz type, the authors show the representation formula of the solution of (1) and prove the uniqueness of the solution. They also show some properties of the solution and a comparison theorem. The results are applied to the pricing of American options.
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second-order reflected backward
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stochstic differential equations
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American options
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