Anticipated Backward Stochastic Differential Equation with Reflection
DOI10.1080/03610918.2015.1011336zbMATH Open1345.60050OpenAlexW2344364083WikidataQ115297563 ScholiaQ115297563MaRDI QIDQ2816697FDOQ2816697
Authors: Xinwei Feng 
Publication date: 25 August 2016
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2015.1011336
backward stochastic differential equationsLipschitz conditionnon-Lipschitz conditionreflecting boundary
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)
Cites Work
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Anticipated backward stochastic differential equations
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations with reflection and Dynkin games
- Backward stochastic differential equations with continuous coefficient
- Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- Anticipated backward stochastic differential equations driven by the Teugels martingales
- Anticipated backward stochastic differential equations with non-Lipschitz coefficients
- Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
- Backward stochastic differential equations with locally Lipschitz coefficient
- On the existence and uniqueness of solutions to stochastic equations in infinite dimension with integral-Lipschitz coefficients.
Cited In (5)
- Converse comparison theorems for multidimensional anticipated backward stochastic differential equations
- Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
- Anticipated BSDEs with reflection in convex region
- ANTICIPATING MULTIDIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH REFLECTIONS
- Anticipated backward stochastic variational inequalities with generalized reflection
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