Dynamic programming approach to reflected backward stochastic differential equations (Q6177510)
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scientific article; zbMATH DE number 7790277
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic programming approach to reflected backward stochastic differential equations |
scientific article; zbMATH DE number 7790277 |
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Dynamic programming approach to reflected backward stochastic differential equations (English)
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17 January 2024
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dynamic programming principle
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\(g\)-supermartingale decomposition
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nonlinear optimal stopping
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non-Skorohod-type minimality condition
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reflected backward stochastic differential equation
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second order reflected backward stochastic differential equation
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