Quadratic reflected BSDEs and related obstacle problems for PDEs

DOI10.1080/03610926.2018.1543778OpenAlexW2907473685WikidataQ128677281 ScholiaQ128677281MaRDI QIDQ5085597FDOQ5085597

Authors: Zongyuan Huang, Haiyang Wang, Zhen Wu, Zhiyong Yu 

Publication date: 27 June 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1543778

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zbMATH Keywords

comparison theoremconvex generatorsFeynman-Kac formulaoptimal stopping timequadratic growthreflected BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10)

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