Backward sdes with constrained jumps and Quasi-variational inequalities

Annals of Probability

Volumn 38, Issue 2, 2010, Pages 794-840

  Kharroubi, Idris ^a   Ma, Jin ^b   Pham, Huyên ^a   Zhang, Jianfeng ^b  

^a UNIVERSITÉ PARIS DESCARTES   (France)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Backward stochastic differential equation; Impulse control problems; Jump constraints; Jump diffusion process; Penalization; Quasi variational inequalities; Viscosity solutions

Indexed keywords

EID: 77953547917     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/09-AOP496     Document Type: Article

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