Lp-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.1142/S0219493712003651zbMath1248.60064arXiv0807.1846MaRDI QIDQ5389121

Said Hamadène, Alexandre Popier

Publication date: 24 April 2012

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.1846

zbMATH Keywords

viscosity solution; penalization; Snell envelope; obstacle PDE; reflected backward stochastic equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G40: Stopping times; optimal stopping problems; gambling theory

60G99: Stochastic processes

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