Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections
Author:
Publisher
EDP Sciences
Subject
Statistics and Probability
Link
http://www.esaim-ps.org/10.1051/ps/2013036/pdf
Reference26 articles.
1. Barles G., Buckdahn R. and Pardoux E., Backward stochastic differential equations and integral-partial differential equations.Stoch. Stoch. Reports60(1997) 57–83.
2. M. Bernhart, H. Pham, P. Tankov and X. Warin, Swing Options Valuation: a BSDE with Constrained Jumps Approach.Numerical methods in finance. Edited by R. Carmonaet al.Springer (2012).
3. Bouchard B., A stochastic target formulation for optimal switching problems in finite horizon.Stochastics81(2009) 171–197.
4. Bouchard B. and Elie R., Discrete–time approximation of decoupled forward-backward SDE with jumps.Stoch. Proc. Appl.118(2008) 53–75.
5. Chassagneux J.F., Elie R. and Kharroubi I., A note on existence and uniqueness of multidimensional reflected BSDEs.Electronic Commun. Prob.16(2011) 120–128.
Cited by 16 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Mean-field reflected backward stochastic differential equations;The Annals of Applied Probability;2023-08-01
2. Optimal switching problems with an infinite set of modes: An approach by randomization and constrained backward SDEs;Stochastic Processes and their Applications;2020-05
3. p solutions of reflected backward stochastic differential equations with jumps;ESAIM: Probability and Statistics;2020
4. A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time;Advances in Applied Probability;2019-06
5. Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem;Stochastic Processes and their Applications;2019-02
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3