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

DOI10.1080/07362994.2024.2396575MaRDI QIDQ6668705FDOQ6668705

Authors: Magnus Perninge 

Publication date: 22 January 2025

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

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Mathematics Subject Classification ID

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

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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• Stochastic Differential Utility
• Adapted solution of a backward stochastic differential equation
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
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• Reflected BSDE's with discontinuous barrier and application
• Optimal stopping for non-linear expectations. II
• Existence of Optimal Stochastic Control Laws
• Martingale approach to stochastic differential games of control and stopping
• Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
• Existence and uniqueness for BSDE with stopping time
• Martingale approach to stochastic control with discretionary stopping
• On the stochastic control-stopping problem
• Stochastic calculus and applications
• Discrete-time risk-aware optimal switching with non-adapted costs

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