Stochastic quadratic BSDE with two RCLL obstacles
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DOI10.1016/j.spa.2014.12.009zbMath1312.60076arXiv1103.5373OpenAlexW2010050714MaRDI QIDQ2342390
El Hassan Es-Saky, Mohammed Hassani, Youssef Ouknine
Publication date: 28 April 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1103.5373
comparison theorembackward stochastic differential equationsexponential transformationstochastic quadratic growth
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)
Related Items
Generalized BSDE and reflected BSDE with random time horizon, Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles, Doubly reflected BSDEs with integrable parameters and related Dynkin games
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