A note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients

DOI10.1080/07362994.2024.2396575MaRDI QIDQ6668705zbMATH OpenFDO

Authors Magnus Perninge

Publication date 22 January 2025

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/07362994.2024.2396575

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Adapted solution of a backward stochastic differential equation
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• Discrete-time risk-aware optimal switching with non-adapted costs
• Existence and uniqueness for BSDE with stopping time
• Existence of Optimal Stochastic Control Laws
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
• Martingale approach to stochastic control with discretionary stopping
• Martingale approach to stochastic differential games of control and stopping
• On the stochastic control-stopping problem
• Optimal stopping for non-linear expectations. II
• Reflected BSDE's with discontinuous barrier and application
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Stochastic calculus and applications
• Stochastic Differential Utility

Cited in

(1)

• Weighted solutions of random time horizon BSDEs with stochastic monotonicity and general growth generators and related PDEs

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