Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations

DOI10.3934/dcds.2015.35.5447zbMath1332.93377arXiv0806.2058OpenAlexW2963775960MaRDI QIDQ255506

Ying Hu, Shanjian Tang

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.2058

zbMATH Keywords

backward stochastic differential equationsoblique reflectionswitching game

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Stochastic systems in control theory (general) (93E03)

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