Lp-Solutions for Doubly Reflected Backward Stochastic Differential Equations
Publication:3114564
DOI10.1080/07362994.2011.564442zbMath1242.60040OpenAlexW2023989047MaRDI QIDQ3114564
Said Hamadène, Brahim El Asri, Hao Wang
Publication date: 19 February 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2011.564442
penalizationlocal solutionDynkin gameSnell envelopereflected backward stochastic differential equationsMokobodski's hypothesisviscosity solution of variational inequalities
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic processes (60G99)
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