Switching problem and related system of reflected backward SDEs
By Said Hamadène, Jianfeng Zhang. 2010
137 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/d71a41e72484f01b86f91569a30ecbfdf4186ef3
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Shige Peng
- Idris Kharroubi
- Jean-François Chassagneux
- Romuald Elie
- Li-Xin Zhang
- Marcel Nutz
- Mingshang Hu
- Yongsheng Song
In Finance
- Jean-François Chassagneux
- Romuald Elie
- Idris Kharroubi
- Shige Peng
- Li-Xin Zhang
- Jianfeng Zhang
- Marcel Nutz
- Nizar Touzi
Citations in the corpus
- Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011, methodology): “For the related multi-dimensional BSDEs with oblique reflection, see Ramasubramanian (2002), Carmona and Ludkovski (2008), Hu and Tang (2010) and Hamadene and Zhang (2010).”
- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs (2011, methodology): “This is done via the introduction of a convenient one dimensional dominating BSDE and the use of a standard comparison theorem.”
- BSDEs with mean reflection (2016, unknown): “The study of optimal switching problems [12, 13, 14, 6] led to the consideration of multidimensional systems of BSDEs with oblique reflections.”