Reflected BSDE with a constraint and its applications in an incomplete market
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Publication:637071
DOI10.3150/09-BEJ227zbMath1284.60120OpenAlexW2003941024MaRDI QIDQ637071
Publication date: 2 September 2011
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3150/09-bej227
reflected backward stochastic differential equationbackward stochastic differential equation with a constraint
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)
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