Reflected BSDE’s with discontinuous barrier and time delayed generators
From MaRDI portal
Publication:2786476
DOI10.1051/ps/2014021zbMath1333.60121OpenAlexW2059647617MaRDI QIDQ2786476
Publication date: 12 February 2016
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/ps/2014021
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Growth, boundedness, comparison of solutions to functional-differential equations (34K12) Stochastic integral equations (60H20)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Reflected backward stochastic differential equations with time delayed generators
- FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations with reflection and Dynkin games
- On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
- Backward stochastic differential equations with time delayed generators -- results and counterexamples
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Conjugate convex functions in optimal stochastic control
- Backward stochastic differential equations and integral-partial differential equations
- Mixed Zero-Sum Stochastic Differential Game and American Game Options
- Backward Stochastic Differential Equations in Finance
- Backward equations, stochastic control and zero-sum stochastic differential games
- Reflected BSDE's with discontinuous barrier and application