Reflected backward stochastic differential equations with rough drivers
backward stochastic differential equationsoptimal stoppingoption pricingreflectionrough partial differntial equationsrough pathsviscosity solutions
Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Rough paths (60L20) Rough partial differential equations (60L50) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
- A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
- A course on rough paths. With an introduction to regularity structures
- A priori estimates for rough PDEs with application to rough conservation laws
- Adapted solution of a backward stochastic differential equation
- An energy method for rough partial differential equations
- Asymptotics
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward stochastic differential equations with rough drivers
- Backward stochastic differential equations with Young drift
- Backward stochastic differential equations. From linear to fully nonlinear theory
- Continuous exponential martingales and BMO
- Càdlàg rough differential equations with reflecting barriers
- Differential equations driven by rough paths with jumps
- Differential equations driven by rough signals
- Existence for BSDE with superlinear–quadratic coefficient
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- Multidimensional backward stochastic differential equations with rough drifts
- Multidimensional stochastic processes as rough paths. Theory and applications.
- Non-linear rough heat equations
- Non-uniqueness for reflected rough differential equations
- One-dimensional reflected rough differential equations
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Partial differential equations driven by rough paths
- Pathwise stochastic control with applications to robust filtering
- Penalisation techniques for one-dimensional reflected rough differential equations
- Pricing under rough volatility
- Quadratic reflected BSDEs with unbounded obstacles
- Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection
- Reflected rough differential equations
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Reflections on BSDEs
- Robust filtering: correlated noise and multidimensional observation
- Rough path stability of (semi-)linear SPDEs
- Rough PDEs for local stochastic volatility models
- Stochastic control with rough paths
- Stochastic partial differential equations: a rough paths view on weak solutions via Feynman-Kac
- The obstacle problem for quasilinear stochastic PDE's
- User’s guide to viscosity solutions of second order partial differential equations
- Volatility is rough
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