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math.SG2007★ 13 cited
Constrained BSDE and Viscosity Solutions of Variation Inequalities
Shige Peng, Mingyu Xu
In this paper, we study the relation between the smallest -supersolution of constraint backward stochastic differential equation and viscosity solution of constraint semilineare…
math.PR2007
Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
Mingyu Xu
In this paper, we prove the existence and uniqueness result of the reflected BSDE with two continuous barriers under monotonicity and general increasing condition on , with Lips…