Generalized Snell envelope as a minimal solution of BSDE with lower barriers (Q388135)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Generalized Snell envelope as a minimal solution of BSDE with lower barriers |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized Snell envelope as a minimal solution of BSDE with lower barriers |
scientific article |
Statements
Generalized Snell envelope as a minimal solution of BSDE with lower barriers (English)
0 references
19 December 2013
0 references
This paper presents a characterization of the Snell envelope of a given \(\operatorname{P}\)-measurable process. This characterization is given in terms of the minimal solution of a backward stochastic differential equation having lower general reflecting barriers. The authors also prove that this minimal solution exists.
0 references
backward stochastic differential equations
0 references
Snell envelope
0 references
comparison theorem
0 references
