Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options (Q5746994)
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scientific article; zbMATH DE number 6256872
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options |
scientific article; zbMATH DE number 6256872 |
Statements
Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options (English)
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11 February 2014
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reflected backward stochastic differential equations
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American-style contingent claims
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convex risk measures
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obstacle problems
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optimal stopping-control problem
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viscosity solutions
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