Generalized Snell envelope as a minimal solution of BSDE with lower barriers (Q388135)
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| Language | Label | Description | Also known as |
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| English | Generalized Snell envelope as a minimal solution of BSDE with lower barriers |
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Generalized Snell envelope as a minimal solution of BSDE with lower barriers (English)
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19 December 2013
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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.
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backward stochastic differential equations
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Snell envelope
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comparison theorem
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