Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators

Monia Karouf

doi:10.1007/s10959-018-0829-x

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Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators

Monia Karouf

Year: 2018 Journal: Journal of Theoretical Probability Vol: 32 (1)Pages: 216-248 Publisher: Springer Science+Business Media

DOI: 10.1007/s10959-018-0829-x

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Keywords:

Mathematics Stochastic differential equation Uniqueness Brownian motion Comparison theorem Mathematical analysis Poisson distribution Brownian noise Noise (video) Geometric Brownian motion Applied mathematics Diffusion process White noise Statistics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Advanced Mathematical Modeling in Engineering

Physical Sciences → Computer Science → Computational Theory and Mathematics

Stability and Controllability of Differential Equations

Physical Sciences → Engineering → Control and Systems Engineering

Reflected and Doubly Reflected Backward Stochastic Differential Equations with Time-Delayed Generators

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