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Multi-dimensional BSDE with oblique reflection and optimal switching · Study

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ArticleMulti-dimensional BSDE with oblique reflection and optimal switching

Ying Hu2009

OA

Articlebronze2009

Multi-dimensional BSDE with oblique reflection and optimal switching

Ying Hu · Shanjian Tang

133 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Nonlinear Partial Differential Equations

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 133 citations exist upstream.

References

1999Continuous Martingales and Brownian Motion 1990Adapted solution of a backward stochastic differential equation 1984Stochastic differential equations with reflecting boundary conditions 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's 1997Backward stochastic differential equations and integral-partial differential equations 1981Les Aspects Probabilistes Du Controle Stochastique 2002Un Cours sur les Intégrales Stochastiques 2002On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case

Cited by

2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications 2010Switching problem and related system of reflected backward SDEs 2009The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach 2012Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem 2009Optimal Switching over Multiple Regimes 20088 Backward SDEs with constrained jumps and Quasi-Variational Inequalities 2011A note on existence and uniqueness for solutions of multidimensional reflected BSDEs 2018BSDEs with mean reflection

Details

Year2009

Typearticle

Published2009-02-11

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations133

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s00440-009-0202-1

openalex_workW2592216957

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