Reflected BSDE with a constraint and its applications in an incomplete market (Q637071): Difference between revisions

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+Convex duality in constrained portfolio optimization
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+Hedging contingent claims with constrained portfolios
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+Backward stochastic differential equations with reflection and Dynkin games
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+Backward stochastic differential equations with constraints on the gains-process
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+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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+Backward Stochastic Differential Equations in Finance
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+Reflected BSDE's with discontinuous barrier and application
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+Reflected BSDEs and mixed game problem
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+Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
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+Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
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+The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
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+https://doi.org/10.3150/09-bej227
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+Publication:637071