Reflected backward stochastic differential equations in an orthant

DOI10.1007/BF02829759zbMath1007.60061OpenAlexW2122506696MaRDI QIDQ698364

M. C. Fu

Publication date: 21 October 2002

Published in: Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02829759

zbMATH Keywords

Skorokhod problembackward stochastic differential equationoblique reflectionsubsidy surplus model

Mathematics Subject Classification ID

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

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