Backward SDEs with constrained jumps and quasi-variational inequalities
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Publication:964784
DOI10.1214/09-AOP496zbMath1205.60114arXiv0805.4676OpenAlexW3098963892MaRDI QIDQ964784
Idris Kharroubi, Jin Ma, Jianfeng Zhang, Huyên Pham
Publication date: 21 April 2010
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0805.4676
penalizationquasi-variational inequalitiesbackward stochastic differential equationjump-diffusion processimpulse control problemsjump constraints
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)
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