Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options (Q5746994)
From MaRDI portal
scientific article; zbMATH DE number 6256872
Language | Label | Description | Also known as |
---|---|---|---|
English | Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options |
scientific article; zbMATH DE number 6256872 |
Statements
Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options (English)
0 references
11 February 2014
0 references
reflected backward stochastic differential equations
0 references
American-style contingent claims
0 references
convex risk measures
0 references
obstacle problems
0 references
optimal stopping-control problem
0 references
viscosity solutions
0 references