Reflected generalized BSDEs with random time and applications

zbMath1279.60083arXiv1011.3223MaRDI QIDQ380746

Auguste Aman, Abouo Elouaflin, Modeste N'zi

Publication date: 14 November 2013

Published in: African Diaspora Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.3223

zbMATH Keywords

viscosity solutionAmerican option pricingNeumann boundary conditionelliptic PDEsgeneralized backward stochastic differential equations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic analysis (60H99) Stochastic integral equations (60H20)

Related Items (1)

A framework of BSDEs with stochastic Lipschitz coefficients

Cites Work

• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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• Stochastic differential equations with reflecting boundary conditions
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• Backward Stochastic Differential Equations in Finance
• Backward equations, stochastic control and zero-sum stochastic differential games
• Reflected forward-backward SDEs and obstacle problems with boundary conditions
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