Dynamic programming approach to reflected backward stochastic differential equations

DOI10.1214/23-ejp999OpenAlexW4387414821MaRDI QIDQ6177510

Mun-Chol Kim, O. Hun, Kon-Gun Kim

Publication date: 17 January 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/23-ejp999

zbMATH Keywords

nonlinear optimal stoppingreflected backward stochastic differential equationdynamic programming principle\(g\)-supermartingale decompositionnon-Skorohod-type minimality conditionsecond order reflected backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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