BSDEs with mean reflection driven by G-Brownian motion
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Publication:1799804
DOI10.1016/J.JMAA.2018.10.025zbMATH Open1439.60056OpenAlexW2897815894MaRDI QIDQ1799804FDOQ1799804
Authors: Guomin Liu, Falei Wang 
Publication date: 19 October 2018
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.10.025
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Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Utility maximization in incomplete markets
- Backward Stochastic Differential Equations in Finance
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
- Adapted solution of a backward stochastic differential equation
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Quasi-continuous random variables and processes under the \(G\)-expectation framework
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- Financial markets with volatility uncertainty
- Title not available (Why is that?)
- Reflected BSDE with a constraint and its applications in an incomplete market
- Hedging contingent claims for a large investor in an incomplete market
- Pricing of American contingent claims with jump stock price and constrained portfolios
- BSDEs with mean reflection
Cited In (15)
- Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance
- Two-stage stochastic optimal control problem under \(G\)-expectation
- Backward doubly-stochastic differential equations with mean reflection
- Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
- Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections
- Quadratic BSDEs with mean reflection driven by G-brownian motion
- BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
- Multi-dimensional mean-reflected BSDEs driven by \(G\)-Brownian motion with time-varying non-Lipschitz coefficients
- The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
- General mean reflected backward stochastic differential equations
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Reflected quadratic BSDEs driven by \(G\)-Brownian motions
- Multi-dimensional BSDEs with mean reflection
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