scientific article; zbMATH DE number 1069627
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Publication:4356589
a priori estimatesAmerican optionscomparison theoremdeterministic Skohorod problemexistenceMarkovian frameworknon-reflected BSDEsnonlinear parabolic partial differential equationobstacle problemoptimal stopping time controlreflected backward stochastic differential equationsunique viscosity solutionuniqueness
Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) PDEs with randomness, stochastic partial differential equations (35R60) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Microeconomic theory (price theory and economic markets) (91B24)
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