Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump (Q287772): Difference between revisions
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| Property / Mathematics Subject Classification ID: 60G40 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / zbMATH DE Number: 6583836 / rank | |||
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optimal stopping | |||
| Property / zbMATH Keywords: optimal stopping / rank | |||
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backward stochastic differential equations | |||
| Property / zbMATH Keywords: backward stochastic differential equations / rank | |||
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randomized stopping | |||
| Property / zbMATH Keywords: randomized stopping / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / arXiv ID: 1502.05422 / rank | |||
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| links / mardi / name | links / mardi / name | ||
Latest revision as of 12:21, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump |
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Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump (English)
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23 May 2016
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optimal stopping
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backward stochastic differential equations
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randomized stopping
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