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

Markov chainbackward stochastic differential equationcomparison theoremreflected backward stochastic differential equationinfinite horizon

Mathematics Subject Classification ID

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

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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

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