Particles systems for mean reflected BSDEs
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Cites work
- Adapted solution of a backward stochastic differential equation
- Backward Stochastic Differential Equations in Finance
- BSDEs with mean reflection
- Coherent measures of risk
- Convex measures of risk and trading constraints
- Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
- scientific article; zbMATH DE number 4211245 (Why is no real title available?)
- Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
- Mean-field backward stochastic differential equations: A limit approach
- Multi-dimensional BSDE with oblique reflection and optimal switching
- On the rate of convergence in Wasserstein distance of the empirical measure
- Particles systems and numerical schemes for mean reflected stochastic differential equations
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
Cited in
(9)- A propagation of chaos result for weakly interacting nonlinear Snell envelopes
- L^p-solutions of multi-dimensional BSDEs with mean reflection
- Mean reflected backward stochastic differential equations with jumps in a convex domain
- Propagation of chaos for mean-field reflected BSDEs with jumps
- Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance
- Backward stochastic differential equations driven by optional semimartingales with conditional reflecting and regulated barrier
- Mean-reflected G-BSDEs with multi-variate constraints
- Backward stochastic differential equations with central value reflection
- Propagation of chaos for doubly mean reflected BSDEs
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