Backward stochastic differential equations with mean reflection and two constraints
DOI10.1016/j.bulsci.2022.103117OpenAlexW4214919714WikidataQ115359930 ScholiaQ115359930MaRDI QIDQ2123434
Adrian Falkowski, Leszek Slominski
Publication date: 8 April 2022
Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.bulsci.2022.103117
backward stochastic differential equationsoptimization problemreflecting boundary conditionbackward Skorokhod problem with two constraints
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)
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Cites Work
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