Backward stochastic differential equations with mean reflection and two constraints

被引：3

作者：

Falkowski, Adrian ^{[1
]}

Slominski, Leszek ^{[1
]}

机构：

[1] Nicolaus Copernicus Univ, Fac Math & Comp Sci, ul Chopina 12-18, PL-87100 Torun, Poland

来源：

BULLETIN DES SCIENCES MATHEMATIQUES | 2022年 / 176卷

关键词：

Backward stochastic differential; equations; Backward Skorokhod problem with two constraints; Reflecting boundary condition; Optimization problem; L-P SOLUTIONS; BSDES; OBSTACLE; CONVERGENCE;

D O I：

10.1016/j.bulsci.2022.103117

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the problem of existence, uniqueness and stability of solutions of backward stochastic differential equations (BSDEs) with two constraints and a minimality condition depending on the law of the solution (and not on its paths). Connections between expectations of solutions and value functions of appropriately defined deterministic optimization problems are given. (C)& nbsp;2022 Elsevier Masson SAS. All rights reserved.

引用

页数：31

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