scientific article; zbMATH DE number 1069627
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Publication:4356589
zbMath0898.90033MaRDI QIDQ4356589
Etienne Pardoux, Marie-Claire Quenez, Nicole El Karoui
Publication date: 1 November 1998
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
existenceuniquenessa priori estimatescomparison theoremAmerican optionsobstacle problemreflected backward stochastic differential equationsnonlinear parabolic partial differential equationunique viscosity solutiondeterministic Skohorod problemMarkovian frameworknon-reflected BSDEsoptimal stopping time control
Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Microeconomic theory (price theory and economic markets) (91B24) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
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