A Note on BSDEs with Singular Driver Coefficients
From MaRDI portal
Publication:3195068
DOI10.1142/9789814602075_0010zbMath1325.60090arXiv1309.5071MaRDI QIDQ3195068
Anthony Réveillac, Monique Jeanblanc-Picqué
Publication date: 21 October 2015
Published in: Arbitrage, Credit and Informational Risks (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.5071
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control