Reflected forward-backward SDEs and obstacle problems with boundary conditions
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Publication:5950196
DOI10.1155/S1048953301000090zbMath1002.60065MaRDI QIDQ5950196
Publication date: 9 October 2002
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/49650
variational inequalities; viscosity solution; American game option; forward-backward stochastic differential equations
49J40: Variational inequalities
60H30: Applications of stochastic analysis (to PDEs, etc.)
91A60: Probabilistic games; gambling
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