Stochastic variational inequality and reflected BSDE with single \(L^2\) obstacle
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Publication:388750
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
\(g\)-expectation; reflected backward stochastic differential equation; stochastic variational inequality; Snell envelope; Girsanov nonlinear transformation
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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