Reflected BSDEs with monotone generator (Q392698): Difference between revisions
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Well-posedness of \(L^p\) solutions to a backward stochastic differential equation with a continuous barrier is established under certain regularity and monotonicity conditions on the coefficients. The proof uses a priori estimates and comparison arguments. An approximation result is also established. | |||
| Property / review text: Well-posedness of \(L^p\) solutions to a backward stochastic differential equation with a continuous barrier is established under certain regularity and monotonicity conditions on the coefficients. The proof uses a priori estimates and comparison arguments. An approximation result is also established. / 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: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60F25 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6245591 / rank | |||
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| Property / zbMATH Keywords | |||
backward stochastic differential equations | |||
| Property / zbMATH Keywords: backward stochastic differential equations / rank | |||
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| Property / zbMATH Keywords | |||
continuous barrier | |||
| Property / zbMATH Keywords: continuous barrier / rank | |||
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\(L^p\) solutions | |||
| Property / zbMATH Keywords: \(L^p\) solutions / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / arXiv ID: 1810.03404 / rank | |||
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| Property / OpenAlex ID: W2052539338 / rank | |||
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Latest revision as of 12:10, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reflected BSDEs with monotone generator |
scientific article |
Statements
Reflected BSDEs with monotone generator (English)
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15 January 2014
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Well-posedness of \(L^p\) solutions to a backward stochastic differential equation with a continuous barrier is established under certain regularity and monotonicity conditions on the coefficients. The proof uses a priori estimates and comparison arguments. An approximation result is also established.
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backward stochastic differential equations
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continuous barrier
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\(L^p\) solutions
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