Anticipated BSDEs with reflection in convex region

DOI10.1080/17442508.2022.2084339zbMath1524.60138OpenAlexW4293083420MaRDI QIDQ6170738

Xiaoyan Xu, Mingbo Zhang

Publication date: 13 July 2023

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2022.2084339

zbMATH Keywords

penalization schemereflected anticipated backward stochastic differential equationno-Lipschitz continuous

Mathematics Subject Classification ID

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

Cites Work

• Adapted solution of a backward stochastic differential equation
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backward stochastic differential equations with continuous coefficient
• Multidimensional backward stochastic differential equations with uniformly continuous coeffi\-cients
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Anticipated backward stochastic differential equations
• Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
• Backward stochastic differential equations with locally Lipschitz coefficient
• Anticipated Backward Stochastic Differential Equation with Reflection
• A generalization of a lemma of bellman and its application to uniqueness problems of differential equations
• Stochastic differential equations with reflecting boundary conditions
• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
• Anticipated backward stochastic differential equations with non-Lipschitz coefficients

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