The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles

DOI10.1016/j.anihpb.2004.12.002zbMath1071.60049OpenAlexW2002753268MaRDI QIDQ2485327

Mingyu Xu, Shige Peng

Publication date: 4 August 2005

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

Full work available at URL: http://www.numdam.org/item?id=AIHPB_2005__41_3_605_0

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales and classical analysis (60G46)

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