Reflected forward-backward SDEs and obstacle problems with boundary conditions.

Ma, Jin; Cvitanić, Jakša

Journal of Applied Mathematics and Stochastic Analysis (2001)

  • Volume: 14, Issue: 2, page 113-138
  • ISSN: 2090-3332

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Ma, Jin, and Cvitanić, Jakša. "Reflected forward-backward SDEs and obstacle problems with boundary conditions.." Journal of Applied Mathematics and Stochastic Analysis 14.2 (2001): 113-138. <http://eudml.org/doc/49650>.

@article{Ma2001,
author = {Ma, Jin, Cvitanić, Jakša},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {forward-backward stochastic differential equations; variational inequalities; viscosity solution; American game option},
language = {eng},
number = {2},
pages = {113-138},
publisher = {Hindawi Publishing Corporation, New York},
title = {Reflected forward-backward SDEs and obstacle problems with boundary conditions.},
url = {http://eudml.org/doc/49650},
volume = {14},
year = {2001},
}

TY - JOUR
AU - Ma, Jin
AU - Cvitanić, Jakša
TI - Reflected forward-backward SDEs and obstacle problems with boundary conditions.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2001
PB - Hindawi Publishing Corporation, New York
VL - 14
IS - 2
SP - 113
EP - 138
LA - eng
KW - forward-backward stochastic differential equations; variational inequalities; viscosity solution; American game option
UR - http://eudml.org/doc/49650
ER -

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