Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
From MaRDI portal
Publication:4363324
DOI10.1080/17442509608834054zbMath0891.60050OpenAlexW2050310913MaRDI QIDQ4363324
Anne Gégout-Petit, Etienne Pardoux
Publication date: 7 July 1998
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509608834054
Related Items (44)
Convergence of BSDEs and homogenization of semilinear variational inequalities in a convex domain ⋮ Ergodic BSDEs and related PDEs with Neumann boundary conditions ⋮ Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections ⋮ Multi-dimensional BSDE with oblique reflection and optimal switching ⋮ Reflected BSDEs in non-convex domains ⋮ Reflected Backward Stochastic Differential Equation with Locally Monotone Coefficient ⋮ Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process ⋮ Backward doubly SDEs and semilinear stochastic PDEs in a convex domain ⋮ Reflected backward stochastic differential equations with jumps in time-dependent random convex domains ⋮ Mean-field backward stochastic differential equations with reflection and related nonlocal PDEs in a convex domain ⋮ Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time ⋮ Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection ⋮ Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem ⋮ Existence and uniqueness of solutions for multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators ⋮ Multi-dimensional BSDEs with mean reflection ⋮ Multi-dimensional path-dependent forward-backward stochastic variational inequalities ⋮ Anticipated BSDEs with reflection in convex region ⋮ Reflecting image-dependent SDEs in Wasserstein space and large deviation principle ⋮ MULTIVALUED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS VIA BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Reflected BSDEs with jumps in time-dependent convex càdlàg domains ⋮ Forward and backward stochastic differential equations with normal constraints in law ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades ⋮ Reflected backward stochastic differential equations in an orthant ⋮ Representations and regularities for solutions to BSDEs with reflections ⋮ Systems of stochastic partial differential equations with reflection: existence and uniqueness ⋮ Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems ⋮ Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions ⋮ Probabilistic representation and approximation for coupled systems of variational inequalities ⋮ Systems of semilinear parabolic variational inequalities with time-dependent convex obstacles ⋮ Obliquely reflected backward stochastic differential equations ⋮ Reflected BSDEs in time-dependent convex regions ⋮ Homogenization of a singular random one-dimensional PDE ⋮ Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality ⋮ A discrete-time approximation for doubly reflected BSDEs ⋮ Backward stochastic differential equations with subdifferential operator and related variational inequalities ⋮ Reflected BSDE of Wiener-Poisson type in time-dependent domains ⋮ Generalized reflected backward stochastic differential equations ⋮ Stochastic Burgers type equations with reflection: existence, uniqueness ⋮ Switching problems with controlled randomisation and associated obliquely reflected BSDEs ⋮ Reflected Backward SDEs in a Convex Polyhedron ⋮ Approximation of BSDE with non Lipschitz coefficient ⋮ Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations ⋮ Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance ⋮ An approximation scheme for reflected stochastic differential equations with non-Lipschitzian coefficients
This page was built for publication: Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
