Constrained BSDEs, viscosity solutions of variational inequalities and their applications

DOI10.3934/MCRF.2013.3.233zbMath1262.60054arXiv0712.0306OpenAlexW2316071325MaRDI QIDQ1941672

Mingyu Xu, Shige Peng

Publication date: 21 March 2013

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.0306

zbMATH Keywords

variational inequalityviscosity solutionbackward stochastic differential equation with a constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Partial differential inequalities and systems of partial differential inequalities (35R45) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (5)

Superhedging under ratio constraint ⋮ Penalty method for portfolio selection with capital gains tax ⋮ Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus ⋮ On Z-mean reflected BSDEs ⋮ Unnamed Item

This page was built for publication: Constrained BSDEs, viscosity solutions of variational inequalities and their applications