Regularity of BSDEs with a convex constraint on the gains-process
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Publication:1697025
DOI10.3150/16-BEJ806zbMath1426.60068arXiv1409.5369OpenAlexW2270251278MaRDI QIDQ1697025
Bruno Bouchard, Romuald Elie, Ludovic Moreau
Publication date: 15 February 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1409.5369
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A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times ⋮ Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ On Z-mean reflected BSDEs ⋮ On a Class of Path-Dependent Singular Stochastic Control Problems ⋮ Discretization and machine learning approximation of BSDEs with a constraint on the gains-process
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