Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
DOI10.1214/21-EJP619zbMath1480.60147arXiv1911.07016OpenAlexW3159321279WikidataQ115240778 ScholiaQ115240778MaRDI QIDQ2042792
Ali Devin Sezer, Mahdi Ahmadi, Alexandre Popier
Publication date: 21 July 2021
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.07016
Green's functionsingularitybackward stochastic differential equationcontinuity problemdensity of hitting time
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic processes (60G99)
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Cites Work
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