Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle (Q388750): Difference between revisions

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+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
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+G46
@@ Property / Mathematics Subject Classification ID: 60G46 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G48
@@ Property / Mathematics Subject Classification ID: 60G48 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E15
@@ Property / Mathematics Subject Classification ID: 60E15 / rank @@
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+6243034
@@ Property / zbMATH DE Number: 6243034 / rank @@
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@@ Property / zbMATH Keywords @@
+reflected backward stochastic differential equation
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic variational inequality
@@ Property / zbMATH Keywords: stochastic variational inequality / rank @@
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@@ Property / zbMATH Keywords @@
+Snell envelope
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+\(g\)-expectation
@@ Property / zbMATH Keywords: \(g\)-expectation / rank @@
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+Girsanov nonlinear transformation
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+One barrier reflected backward doubly stochastic differential equations with continuous generator
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@@ Property / cites work @@
+A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
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@@ Property / cites work @@
+Filtration-consistent nonlinear expectations and related \(g\)-expectations
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@@ Property / cites work @@
+Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes
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@@ Property / cites work @@
+Q4039824
@@ Property / cites work: Q4039824 / rank @@
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@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
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@@ Property / cites work @@
+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
+Normal rank
@@ Property / cites work @@
+Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
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@@ Property / cites work @@
+Reflected BSDE's with discontinuous barrier and application
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@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
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@@ Property / cites work @@
+Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
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@@ Property / cites work @@
+Q4357507
@@ Property / cites work: Q4357507 / rank @@
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@@ Property / cites work @@
+The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
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@@ Property / cites work @@
+Semimartingale Inequalities for The Snell Envelopes
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@@ Property / cites work @@
+Backward stochastic differential equations with reflection and weak assumptions on the coefficients
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@@ links / mardi / name / links / mardi / name @@
+Publication:388750