Anticipated Backward Stochastic Differential Equation with Reflection

DOI10.1080/03610918.2015.1011336zbMath1345.60050OpenAlexW2344364083WikidataQ115297563 ScholiaQ115297563MaRDI QIDQ2816697

Xinwei Feng

Publication date: 25 August 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1011336

zbMATH Keywords

backward stochastic differential equationsLipschitz conditionnon-Lipschitz conditionreflecting boundary

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items (2)

Converse comparison theorems for multidimensional anticipated backward stochastic differential equations ⋮ Anticipated BSDEs with reflection in convex region

Cites Work

• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with reflection and Dynkin games
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backward stochastic differential equations with continuous coefficient
• On the existence and uniqueness of solutions to stochastic equations in infinite dimension with integral-Lipschitz coefficients.
• Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
• Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Anticipated backward stochastic differential equations driven by the Teugels martingales
• Anticipated backward stochastic differential equations
• Backward stochastic differential equations with locally Lipschitz coefficient
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients

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