Optimal stopping of marked point processes and reflected backward stochastic differential equations

DOI10.1007/s00245-019-09585-yzbMath1478.60184arXiv1709.09635OpenAlexW2962792318MaRDI QIDQ2041000

Nahuel Foresta

Publication date: 15 July 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.09635

zbMATH Keywords

optimal stoppingmarked point processesreflected backward stochastic differential equations

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (4)

Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle ⋮ Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs

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