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A note on reflected BSDEs in infinite horizon with stochastic Lipschitz coefficients
Linnaeus University, Faculty of Technology, Department of Physics and Electrical Engineering.ORCID iD: 0000-0003-3111-4820
2024 (English)In: Stochastic Analysis and Applications, ISSN 0736-2994, E-ISSN 1532-9356, Vol. 42, no 5, p. 945-962Article in journal (Refereed) Published
Abstract [en]

We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon RBSDEs to the setting where the driver has a stochastic Lipschitz coefficient. As an application, we consider robust optimal stopping problems for functional stochastic differential equations (FSDEs) where the driver has linear growth.

Place, publisher, year, edition, pages
Taylor & Francis Group, 2024. Vol. 42, no 5, p. 945-962
Keywords [en]
Controller-stopper games, infinite horizon, optimal stopping, reflected BSDEs, snell envelope
National Category
Probability Theory and Statistics
Research subject
Natural Science, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-132966DOI: 10.1080/07362994.2024.2396575ISI: 001325654700001Scopus ID: 2-s2.0-85205594504OAI: oai:DiVA.org:lnu-132966DiVA, id: diva2:1905243
Funder
Swedish Energy Agency, 42982-1Available from: 2024-10-12 Created: 2024-10-12 Last updated: 2025-08-07Bibliographically approved

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Perninge, Magnus

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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf