Quadratic reflected BSDEs and related obstacle problems for PDEs

DOI10.1080/03610926.2018.1543778OpenAlexW2907473685WikidataQ128677281 ScholiaQ128677281MaRDI QIDQ5085597

Haiyang Wang, Zhen Wu, Zongyuan Huang, Zhi-Yong Yu

Publication date: 27 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1543778

zbMATH Keywords

comparison theoremFeynman-Kac formulaoptimal stopping timequadratic growthconvex generatorsreflected BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10)

Cites Work

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