Adapted solution of a reflected nonlinear backward stochastic differential equation

MaRDI QIDQ5490439zbMATH OpenFDO

Authors Yong Ren, Ning-Mao Xia

Publication date 4 October 2006

zbMATH Keywords

BSDEpenalization methodYosida approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(6)

• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Continuous dependence on the terminal condition of solutions to nonlinear reflected backward stochastic differential equations
• scientific article; zbMATH DE number 2061186 (Why is no real title available?)
• Representation of adapted solutions to backward stochastic Volterra integral equations

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