Reflected BSDE with a constraint and its applications in an incomplete market

DOI10.3150/09-BEJ227zbMath1284.60120MaRDI QIDQ637071

Shige Peng, Mingyu Xu

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

reflected backward stochastic differential equation; backward stochastic differential equation with a constraint

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G80: Financial applications of other theories

Related Items

Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers

Cites Work

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