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20132025
most citedReflected Backward Stochastic Difference Equations and Optimal Stopping Problems under g-expectation

8 citations

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math.PR2013★ 8 cited

Reflected Backward Stochastic Difference Equations and Optimal Stopping Problems under g-expectation

Lifen An, Samuel N. Cohen, Shaolin Ji

In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness resul…