Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient (Q6540653)
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scientific article; zbMATH DE number 7850281
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| English | Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient |
scientific article; zbMATH DE number 7850281 |
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Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient (English)
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17 May 2024
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doubly reflected backward stochastic differential equations
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RCLL martingales
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stochastic Lipschitz coefficient
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penalization method
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Azéma's martingale
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game contingent claims
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initial enlargement of filtration
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