scientific article; zbMATH DE number 1850755

zbMATH Open1013.60036MaRDI QIDQ4787899FDOQ4787899

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Publication date: 26 June 2003

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zbMATH Keywords

obstacle problemAmerican contingent claimsstopping time problemone-dimensional backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Cited In (40)

• Quadratic reflected BSDEs and related obstacle problems for PDEs
• Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
• Reflected BSDE with a constraint and its applications in an incomplete market
• Existence, uniqueness and approximation for \(L^p\) solutions of reflected BSDEs with generators of one-sided Osgood type
• Backward stochastic differential equations with reflection and weak assumptions on the coefficients
• Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
• Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule
• Quadratic reflected BSDEs with unbounded obstacles
• Reflected backward doubly stochastic differential equations with time delayed generators
• Multi-dimensional reflected backward stochastic differential equations driven by \(G\)-Brownian motion with diagonal generators
• Some results on general quadratic reflected BSDEs driven by a continuous martingale
• Optimal stopping under g-Expectation with -integrable reward process
• Quadratic BSDEs with mean reflection
• Valuation of power plants by utility indifference and numerical computation
• The probabilistic solution of a system of semilinear elliptic PDEs under the third boundary conditions
• Quadratic mean-field reflected BSDEs
• Reflected backward stochastic differential equations with resistance
• Quadratic BSDEs with mean reflection driven by G-brownian motion
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• The convergence rate from discrete to continuous optimal investment stopping problem
• BSDEs with monotone generator and two irregular reflecting barriers
• Reflected backward stochastic differential equation with super-linear growth
• Wellposedness of second order reflected BSDEs: A new formulation
• Doubly reflected backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
• Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection
• Stochastic control representations for penalized backward stochastic differential equations
• General existence results for reflected BSDE and BSDE
• \(L^p\) solution of reflected BSDEs with one continuous barrier and quasi-linear growth generators
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles
• Optimal stopping for dynamic convex risk measures
• General mean-field reflected backward stochastic differential equations with locally monotone coefficients
• Reflected quadratic BSDEs driven by \(G\)-Brownian motions
• Reflected forward-backward stochastic differential equations with continuous monotone coefficients
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
• Stochastic quadratic BSDE with two RCLL obstacles
• General coupled mean-field reflected forward-backward stochastic differential equations
• Reflected BSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz coefficients
• Reflections on BSDEs
• Existence and uniqueness of solutions for multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators

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