Multi-dimensional reflected backward stochastic differential equations and the comparison theorem

DOI10.1016/S0252-9602(10)60175-0zbMath1240.60166OpenAlexW2037908124MaRDI QIDQ716525

Zhen Wu, Hua Xiao

Publication date: 29 September 2011

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0252-9602(10)60175-0

zbMATH Keywords

comparison theorembackward stochastic differential equationslocal time

Mathematics Subject Classification ID

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

Related Items (8)

\(L^p\) solution of general mean-field BSDEs with continuous coefficients ⋮ Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection ⋮ Existence and uniqueness of solutions for multi-dimensional reflected backward stochastic differential equations with diagonally quadratic generators ⋮ General coupled mean-field reflected forward-backward stochastic differential equations ⋮ Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Forward-backward stochastic equations associated with systems of quasilinear parabolic equations and comparison theorems ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades

This page was built for publication: Multi-dimensional reflected backward stochastic differential equations and the comparison theorem