Obliquely reflected backward stochastic differential equations

DOI10.1214/20-AIHP1061zbMath1478.60172OpenAlexW3020902719WikidataQ115240813 ScholiaQ115240813MaRDI QIDQ2028961

Adrien Richou, Jean-François Chassagneux

Publication date: 3 June 2021

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aihp/1603267242

zbMATH Keywords

oblique reflectionBSDEreflected BSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Related Items (5)

Reflected BSDEs in non-convex domains ⋮ Infinite horizon multi-dimensional BSDE with oblique reflection and switching problem ⋮ Multi-dimensional BSDEs with mean reflection ⋮ Systems of BSDES with oblique reflection and related optimal switching problems ⋮ Switching problems with controlled randomisation and associated obliquely reflected BSDEs

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