Survey for Double Barrier Backward Doubly Stochastic Differential Equations
Author:
Affiliation:
1. Asset Management Business Division, Mitsubishi UFJ Trust and Banking Corporation
Publisher
The Institute of Systems, Control and Information Engineers
Subject
General Medicine
Link
https://www.jstage.jst.go.jp/article/sss/2021/0/2021_34/_pdf
Reference20 articles.
1. [1] A. Aman and M. Nzi: Reflected Backward Doubly Stochastic Differential Equations and Application, Hal archives-ouvertes.fr. HAL Id : hal-00199360, 2007.
2. [2] A. Aman and N. Mrhardy: Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs, Statistics and Probability Letters, Vol 83(3), pp 863-874, 2013.
3. [3] K. Bahlali, S. Hamadene and B. Mezerdi: Backward Stochastic Differential Equations with Two Reflecting Barriers and Continuous with Quadratic Growth Coefficient, Stochastic Processes and their applications, Vol 115, pp 1107- 1129, 2005.
4. [4] J. Cvitanic and I. Karatzas: Backward Stochastic Differential Equations with Reflection and Dynkin Games, The Annals. of Probability, Vol 24(4), pp 2024-2056, 1996.
5. [5] L. Delong: Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications; BSDEs with Jumps European Actuarial Academy, Springer, 2013.
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