Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options

ISSN： 0736-2994

Source： Stochastic Analysis and Applications, Vol.31, Iss.6, 2013-11, pp. : 1077-1096

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS

ANZIAM Journal, Vol. 50, Iss. 4, 2009-04 ,pp. : 486-500

Cambridge University Press

Access to resources Recommend Favorite

Reflected backward stochastic differential equations with two RCLL barriers

By Lepeltier Jean-Pierre Xu Mingyu

ESAIM: Probability and Statistics, Vol. 11, Iss. issue, 2007-03 ,pp. : 3-22

Edp Sciences

Access to resources Recommend Favorite

Backward Stochastic Differential Equations Associated to a Symmetric Markov Process

By Bally V. Pardoux E. Stoica L.

Potential Analysis, Vol. 22, Iss. 1, 2005-02 ,pp. : 17-60

Springer Publishing Company

Access to resources Recommend Favorite

Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems

By Gashi Bujar Pantelous Athanasios A.

Stochastic Analysis and Applications, Vol. 31, Iss. 1, 2013-01 ,pp. : 142-166

Taylor & Francis Ltd

Access to resources Recommend Favorite

Deferred Correction Methods for Forward Backward Stochastic Differential Equations

Numerical Mathematics: Theory, Methods and Applications, Vol. 10, Iss. 2, 2017-05 ,pp. : 222-242

Cambridge University Press

Access to resources Recommend Favorite