Reflected BSDE with a constraint and its applications in an incomplete market

DOI10.3150/09-BEJ227zbMath1284.60120OpenAlexW2003941024MaRDI QIDQ637071

Mingyu Xu, Shige Peng

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/09-bej227

zbMATH Keywords

reflected backward stochastic differential equationbackward stochastic differential equation with a constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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