Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
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Publication:4431483
DOI10.1017/S1446788700003281zbMath1029.60047OpenAlexW2141709744MaRDI QIDQ4431483
Publication date: 22 October 2003
Published in: Journal of the Australian Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1446788700003281
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)
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