Backward stochastic differential equations with reflection and Dynkin games
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Publication:674517
DOI10.1214/aop/1041903216zbMath0876.60031OpenAlexW2022420776MaRDI QIDQ674517
Jakša Cvitanić, Ioannis Karatzas
Publication date: 10 November 1997
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1041903216
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)
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