Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle (Q388750): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G46 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G48 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60E15 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6243034 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
reflected backward stochastic differential equation | |||
| Property / zbMATH Keywords: reflected backward stochastic differential equation / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
stochastic variational inequality | |||
| Property / zbMATH Keywords: stochastic variational inequality / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
Snell envelope | |||
| Property / zbMATH Keywords: Snell envelope / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
\(g\)-expectation | |||
| Property / zbMATH Keywords: \(g\)-expectation / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
Girsanov nonlinear transformation | |||
| Property / zbMATH Keywords: Girsanov nonlinear transformation / rank | |||
Normal rank | |||
Revision as of 14:32, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle |
scientific article |
Statements
Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle (English)
0 references
6 January 2014
0 references
reflected backward stochastic differential equation
0 references
stochastic variational inequality
0 references
Snell envelope
0 references
\(g\)-expectation
0 references
Girsanov nonlinear transformation
0 references
