Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions

DOI10.1239/aap/1113402403zbMath1086.60035OpenAlexW2088490554MaRDI QIDQ4676430

Mingyu Xu, Jean-Pierre Lepeltier, Anis Matoussi

Publication date: 3 May 2005

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1113402403

zbMATH Keywords

reflecting barrierAmerican contingent claimrisk sensitive

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

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• Adapted solution of a backward stochastic differential equation
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• BSDEs with polynomial growth generators
• \(L^p\) solutions of backward stochastic differential equations.
• Stochastic Differential Utility

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