Reflected BSDEs with nonpositive jumps, and controller-and-stopper games

Stochastic Processes and their Applications

Volumn 125, Issue 2, 2015, Pages 597-633

  Choukroun, Sébastien ^a   Cosso, Andrea ^b   Pham, Huyên ^a,c  

^a CNRS   (France)

^b POLITECNICO DI MILANO   (Italy)

^c CREST   (France)

Author keywords

Backward stochastic differential equations (BSDE) with constrained jumps; Controller and stopper game; Hamilton Jacobi Bellman Isaacs equation; Reflected BSDE; Regimeswitching jump diffusion

Indexed keywords

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; HAMILTON-JACOBI-BELLMAN; JUMP-DIFFUSION; REFLECTED BSDE; REFLECTED BSDES; CHANGE OF PROBABILITY MEASURES; EXISTENCE AND UNIQUENESS; REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATION; REGIME-SWITCHING DIFFUSIONS; HAMILTONS; JACOBI-BELLMAN ISAACS EQUATION;

CONTROLLERS; DIFFERENTIAL EQUATIONS; DIFFUSION; VARIATIONAL TECHNIQUES;

STOCHASTIC SYSTEMS;

EID: 84908433023     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2014.09.015     Document Type: Article

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