Quadratic reflected BSDEs with unbounded obstacles

DOI10.1016/j.spa.2011.12.013zbMath1268.60082arXiv1005.3565OpenAlexW3122821172MaRDI QIDQ424464

Erhan Bayraktar, Song Yao

Publication date: 1 June 2012

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

Full work available at URL: https://arxiv.org/abs/1005.3565

zbMATH Keywords

stabilityviscosity solutionbackward stochastic differential equation\(\theta\)-difference methodconcave generatorFenchel-Legendre dualityoptimal stopping for quadratic g-evaluationquadratic reflected BSDEsemilinear PDEs with obstacle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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