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Bruno Bouchard, Romuald Elie, Ludovic Moreau

Public reference bibliography and cataloged PDF materials authored or published by Bruno Bouchard, Romuald Elie, Ludovic Moreau.

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Regularity of BSDEs with a convex constraint on the gains-process

Year: 2018 • Source: hal.science • Listed PDF

We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the terminal value of a forward stochastic diff...