Strong Snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale (Q5086484)
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scientific article; zbMATH DE number 7553633
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| English | Strong Snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale |
scientific article; zbMATH DE number 7553633 |
Statements
Strong snell envelopes and RBSDEs with regulated trajectories when the barrier is a semimartingale (English)
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5 July 2022
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Snell envelope
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reflected backward stochastic differential equation
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strong optional supermartingale
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Mertens decomposition
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0.8442224860191345
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0.8279204964637756
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0.8252450823783875
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0.8201658129692078
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0.819861114025116
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