Reflected and doubly reflected BSDEs driven by RCLL martingales
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Publication:5038443
DOI10.1142/S0219493722500125zbMath1498.60231arXiv2103.08917OpenAlexW4200585931MaRDI QIDQ5038443
Publication date: 30 September 2022
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.08917
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)
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