Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle

zbMath1283.60096MaRDI QIDQ388750

Youssef Ouknine, Aboubakary Diakhaby, Abou Sène

Publication date: 6 January 2014

Published in: African Diaspora Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.adjm/1383327858

zbMATH Keywords

\(g\)-expectationreflected backward stochastic differential equationstochastic variational inequalitySnell envelopeGirsanov nonlinear transformation

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46)

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