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Q2978456 - MaRDI portal

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    author
    Soufiane Aazizi
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    Youssef Ouknine
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    publication date
    25 April 2017
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    Mathematics Subject Classification ID
    65C30
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    60H30
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    91G60
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    91G20
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    60G40
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    zbMATH DE Number
    6707711
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    zbMATH Keywords
    backward SDEs
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    Snell envelope
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    penalization
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    portfolio constraint
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    reflecting barrier
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    Mokobodski's hypothesis
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    American option
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    Dynkin game
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