Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump

Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump

Saved in:
Bibliographic Details
Published in:Electronic communications in probability Vol. 21; no. none
Main Authors: Fuhrman, Marco, Pham, Huyên, Zeni, Federica
Format: Journal Article
Language:English
Published: 01-01-2016
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
ISSN:1083-589X
1083-589X
DOI:10.1214/16-ECP4123