Backward stochastic differential equations with conditional reflection and related recursive optimal control problems

DOI10.1137/22m1534985zbMATH Open1546.60114MaRDI QIDQ6608782

Wenqiang Li, Ying Hu, Jianhui Huang

Publication date: 20 September 2024

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingpartial informationzero-sum stochastic differential gamesbackward recursive reflected control problemsconditionally reflected BSDEweak-formulation equivalence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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