An existence theorem for multidimensional BSDEs with mixed reflections
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Publication:338066
DOI10.1016/j.crma.2016.09.015zbMath1356.60094OpenAlexW2536150673MaRDI QIDQ338066
Publication date: 3 November 2016
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2016.09.015
optimal stoppingreflected backward stochastic differential equationoptimal switchingreal optionpricing model
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
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Cites Work
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