Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule
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Publication:5411892
DOI10.1080/17442508.2011.652115zbMath1285.91149arXiv0802.2172OpenAlexW2055626756MaRDI QIDQ5411892
Publication date: 25 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0802.2172
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)
Related Items (4)
Optimal stopping with random maturity under nonlinear expectations ⋮ Quadratic reflected BSDEs with unbounded obstacles ⋮ Risk measures for processes and BSDEs ⋮ Viscosity solutions of path-dependent integro-differential equations
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