Reflected BSDEs with regulated trajectories

DOI10.1016/j.spa.2018.04.011zbMath1488.60146arXiv1608.08926OpenAlexW2963960502MaRDI QIDQ2419968

Maurycy Rzymowski, Tomasz Klimsiak, Leszek Slominski

Publication date: 4 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.08926

zbMATH Keywords

optimal stopping problemreflected backward stochastic differential equationprocesses with regulated trajectoriesmodified penalization method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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