On variant reflected backward SDEs, with applications

DOI10.1155/2009/854768zbMath1178.60045OpenAlexW2019888717WikidataQ58648171 ScholiaQ58648171MaRDI QIDQ1039926

Jin Ma, Yusun Wang

Publication date: 23 November 2009

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/223709

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items (3)

Reflected backward stochastic differential equations with resistance ⋮ Forward-backward stochastic differential equations: initiation, development and beyond ⋮ Stochastic representation under \(g\)-expectation and applications: the discrete time case

Cites Work

• Unnamed Item
• Gittins indices in the dynamic allocation problem for diffusion processes
• On intertemporal preferences in continuous time. The case of certainty
• Dynamic allocation problems in continuous time
• PDE solutions of stochastic differential utility
• Optimal consumption choice with intertemporal substitution
• A stochastic representation theorem with applications to optimization and obstacle problems.
• A non-linear Riesz respresentation in probabilistic potential theory
• CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
• Existence and structure of stochastic equilibria with intertemporal substitution

This page was built for publication: On variant reflected backward SDEs, with applications