Systems of quasi-variational inequalities related to the switching problem-Reference-Cited by-同舟云学术

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Systems of quasi-variational inequalities related to the switching problem

Published:2019-04 Issue:4 Volume:129 Page:1259-1286
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Klimsiak Tomasz

Funder

Polish National Science Centre

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference27 articles.

1. Lp solutions of backward stochastic differential equations;Briand;Stochastic Process. Appl.,2003

2. Renormalized solutions of elliptic equations with general measure data;Dal Maso;Ann. Sc. Norm. Super. Pisa Cl. Sci.,1999

3. Probabilities and Potential;Dellacherie,1978

4. Probabilities and Potential B. Theory of Martingales;Dellacherie,1982

5. The finite horizon optimal multiple switching problem;Djehiche;SIAM J. Control Optim.,2009

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2. Long-time asymptotic behaviour of the value function in nonlinear stopping problems;Latin American Journal of Probability and Mathematical Statistics;2022

3. Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games;Stochastic Processes and their Applications;2021-04

4. Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space;Electronic Journal of Probability;2021-01-01

5. Systems of BSDES with oblique reflection and related optimal switching problems;Stochastics and Dynamics;2019-06-30

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