Regularity of BSDEs with a convex constraint on the gains-process

DOI10.3150/16-BEJ806zbMath1426.60068arXiv1409.5369OpenAlexW2270251278MaRDI QIDQ1697025

Bruno Bouchard, Romuald Elie, Ludovic Moreau

Publication date: 15 February 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.5369

zbMATH Keywords

stabilityregularitybackward stochastic differential equation with a constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (6)

A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times ⋮ Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ On Z-mean reflected BSDEs ⋮ On a Class of Path-Dependent Singular Stochastic Control Problems ⋮ Discretization and machine learning approximation of BSDEs with a constraint on the gains-process

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