On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems

DOI10.1016/j.sysconle.2021.104989zbMath1475.60127arXiv2004.11654OpenAlexW3185306214MaRDI QIDQ2242924

Nacira Agram, Boualem Djehiche

Publication date: 10 November 2021

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.11654

zbMATH Keywords

Volterra integral equationbackward stochastic differential equationSnell envelopetime-inconsistent optimal stopping problem

Mathematics Subject Classification ID

Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40) Volterra integral equations (45D05) Stochastic integral equations (60H20)

Related Items (2)

Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes ⋮ Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators

Cites Work

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