Infinite horizon reflected backward stochastic differential equations with Markov chains

DOI10.1080/03610926.2017.1353629MaRDI QIDQ5160260zbMATH OpenOpenAlexFDO

Authors Siyu Lv, Zhen Wu

Publication date 28 October 2021

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

Full work available at URL https://doi.org/10.1080/03610926.2017.1353629

zbMATH Keywords

backward stochastic differential equationcomparison theoreminfinite horizonMarkov chainreflected backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Recommendations

• Mean-field backward stochastic differential equations on Markov chains
• Solutions of backward stochastic differential equations on Markov chains
• Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
• Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
• Infinite horizon BSDEs under consistent nonlinear expectations

Cites work

• A Near-Optimal Selling Rule for a Two-Time-Scale Market Model
• About the pricing equations in finance
• Adapted solution of a backward stochastic differential equation
• Backward equations, stochastic control and zero-sum stochastic differential games
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with reflection and Dynkin games
• BSDEs with regime switching: weak convergence and applications
• Forward-backward stochastic differential equations and their applications
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Reflected BSDE's with discontinuous barrier and application
• Reflected BSDEs and mixed game problem
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Stochastic Differential Utility
• Stock trading: an optimal selling rule
• Zero-sum stochastic differential games and backward equations

Cited in

(2)

• Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
• Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle

This page was built for publication: Infinite horizon reflected backward stochastic differential equations with Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5160260)