Generalized BSDE and reflected BSDE with random time horizon
From MaRDI portal
Publication:6164927
DOI10.1214/23-ejp927MaRDI QIDQ6164927
Anna Aksamit, Libo Li, Marek Rutkowski
Publication date: 4 July 2023
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-probability/volume-28/issue-none/Generalized-BSDE-and-reflected-BSDE-with-random-time-horizon/10.1214/23-EJP927.full
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G40: Stopping times; optimal stopping problems; gambling theory
91G40: Credit risk
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