BSDEs with monotone generator and two irregular reflecting barriers (Q390828): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / review text | |||
The author studies backward stochastic differential equations (BSDEs) with time-dependent upper and lower reflecting barrier. The new feature is that the barriers are not assumed to be continuous, as was the case in previous work, but only measurable. The first main result is an existence and uniqueness result for solutions of such an equation. Later, the author investigates supersolutions of and approximation methods for BSDEs. | |||
| Property / review text: The author studies backward stochastic differential equations (BSDEs) with time-dependent upper and lower reflecting barrier. The new feature is that the barriers are not assumed to be continuous, as was the case in previous work, but only measurable. The first main result is an existence and uniqueness result for solutions of such an equation. Later, the author investigates supersolutions of and approximation methods for BSDEs. / rank | |||
Normal rank | |||
| Property / reviewed by | |||
| Property / reviewed by: Michael K. R. Scheutzow / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H20 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60F25 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6243714 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
reflected backward stochastic differential equations | |||
| Property / zbMATH Keywords: reflected backward stochastic differential equations / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
monotone generators | |||
| Property / zbMATH Keywords: monotone generators / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
supersolutions | |||
| Property / zbMATH Keywords: supersolutions / rank | |||
Normal rank | |||
Revision as of 15:03, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BSDEs with monotone generator and two irregular reflecting barriers |
scientific article |
Statements
BSDEs with monotone generator and two irregular reflecting barriers (English)
0 references
9 January 2014
0 references
The author studies backward stochastic differential equations (BSDEs) with time-dependent upper and lower reflecting barrier. The new feature is that the barriers are not assumed to be continuous, as was the case in previous work, but only measurable. The first main result is an existence and uniqueness result for solutions of such an equation. Later, the author investigates supersolutions of and approximation methods for BSDEs.
0 references
reflected backward stochastic differential equations
0 references
monotone generators
0 references
supersolutions
0 references
