Reflected solutions of backward stochastic differential equations with continuous coefficient
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Publication:1365170
DOI10.1016/S0167-7152(96)00202-7zbMath0882.60057OpenAlexW1995420561MaRDI QIDQ1365170
Publication date: 28 August 1997
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00202-7
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)
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Cites Work
- Adapted solution of a backward stochastic differential equation
- Zero-sum stochastic differential games and backward equations
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Backward stochastic differential equations with continuous coefficient
- Stochastic Differential Utility
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