Continuous dependence property of BSDE with constraints

DOI10.1016/j.aml.2015.01.002zbMath1311.60076arXiv1011.1976OpenAlexW2964006898MaRDI QIDQ2344469

Helin Wu, Feng Hu, Yong Ren

Publication date: 15 May 2015

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.1976

zbMATH Keywords

minimal solutionconvex functionalcontinuous dependencebackward stochastic differential equation with constraint (CBSDE)

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites Work

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• Minimal supersolutions of convex BSDEs
• Continuous dependence properties on solutions of backward stochastic differential equation
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• Risk measures via \(g\)-expectations
• Backward Stochastic Differential Equations in Finance
• Stochastic finance. An introduction in discrete time

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