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Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
Backward stochastic differential equation Infinite horizon Reflected barriers
2009/9/22
We prove existence and uniqueness results of the solution
for infinite horizon reflected backward stochastic differential equations
with one or two barriers. We also apply these results to get the
...
DISCRETE APPROXIMATIONS OF REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM TERMINAL TIME
Reflected backward stochastic differential equations random terminal time discrete approximation methods
2009/9/18
We study convergence of discrete approximations of reflected
backward stochastic differential equations with random terminal
time in a general convex domain. Applications to investigation of the via...
Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule
stochastic differential equations non linear dynamic pricing rule
2010/12/13
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in i...