Penalization schemes for BSDEs and reflected BSDEs with generalized driver

DOI10.3934/puqr.2024014MaRDI QIDQ6612335

Libo Li, Marek Rutkowski, Ruyi Liu

Publication date: 30 September 2024

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

zbMATH Keywords

penalization schemegeneralized BSDEsconstrained optimal stoppingconstrained Dynkin gamereflected generalized BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)

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