Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle

zbMath1283.60096MaRDI QIDQ388750

Youssef Ouknine, Aboubakary Diakhaby, Abou Sène

Publication date: 6 January 2014

Published in: African Diaspora Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.adjm/1383327858

zbMATH Keywords

\(g\)-expectation; reflected backward stochastic differential equation; stochastic variational inequality; Snell envelope; Girsanov nonlinear transformation

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

60G48: Generalizations of martingales

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G46: Martingales and classical analysis

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