REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS (Q5148000): Difference between revisions
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scientific article; zbMATH DE number 7303451
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS |
scientific article; zbMATH DE number 7303451 |
Statements
REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS (English)
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29 January 2021
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reflected backward stochastic differential equations
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stochastic monotonicity
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stochastic Lipschitz
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penalization method
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