Reflected backward stochastic differential equations with resistance

DOI10.1214/17-AAP1319zbMath1391.60144OpenAlexW2798121090WikidataQ129997776 ScholiaQ129997776MaRDI QIDQ1650093

Zhongmin Qian, Mingyu Xu

Publication date: 29 June 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1523433627

zbMATH Keywords

Brownian motionlocal timereflected BSDEoptional dual projectionSkorokhod's equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic potential theory (60J45)

Related Items (2)

Dynamic programming approach to reflected backward stochastic differential equations ⋮ Reflected BSDEs with time-delayed generators and nonlinear resistance

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