Anticipated backward stochastic variational inequalities with generalized reflection

DOI10.1142/S0219493718500089zbMATH Open1387.60091MaRDI QIDQ4598554FDOQ4598554

Lucian Maticiuc, Eduard Rotenstein

Publication date: 21 December 2017

Published in: Stochastics and Dynamics (Search for Journal in Brave)

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zbMATH Keywords

oblique reflectionsubdifferential operatorsanticipated BSDEmultivalued BSDE

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic systems in control theory (general) (93E03)

Cites Work

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• Backward stochastic variational inequalities
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• Some properties of generalized anticipated backward stochastic differential equations
• Multivalued backward stochastic differential equations with oblique subgradients
• Backward stochastic variational inequalities with locally bounded generators

Cited In (1)

• An anticipative stochastic minimum principle under enlarged filtrations

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