The smallest g-supermartingale and reflected BSDE with single and double L2 obstacles

Annales de l'institut Henri Poincare (B) Probability and Statistics

Volumn 41, Issue 3 SPEC. ISS., 2005, Pages 605-630

  Peng, Shige ^a   Xu, Mingyu ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Penalization method; Reflected backward stochastic differential equation; Smallest g supermartingale; Snell envelope

Indexed keywords

EID: 17444420679     PISSN: 02460203     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.anihpb.2004.12.002     Document Type: Article

References (24)

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