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On a class of refle...
On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
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- Agram, Nacira, 1987- (författare)
- Linnéuniversitetet,Institutionen för matematik (MA),Linnaeus Univ LNU, Dept Math, Växjö, Sweden.
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- Djehiche, Boualem, 1962- (författare)
- KTH,Matematisk statistik,KTH Royal instute of technology, Sweden
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(creator_code:org_t)
- Elsevier, 2021
- 2021
- Engelska.
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Ingår i: Systems & control letters (Print). - : Elsevier. - 0167-6911 .- 1872-7956. ; 155
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Abstract
Ämnesord
Stäng
- We introduce a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps the solution above a given stochastic process (lower obstacle). We prove existence and uniqueness by a fixed point argument and derive a comparison result. Moreover, we show how the solution of our problem is related to a time-inconsistent optimal stopping problem and derive an optimal strategy.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Beräkningsmatematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Computational Mathematics (hsv//eng)
Nyckelord
- Backward stochastic differential equation
- Snell envelope
- Volterra integral equation
- Time-inconsistent optimal stopping problem
- Mathematics
- Matematik
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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