A new Mertens decomposition of Yg,ξ-submartingale systems. Application to BSDEs with weak constraints at stopping times
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DOI: 10.1016/j.spa.2023.07.006
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References listed on IDEAS
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Keywords
Mertens decomposition; BSDEs with weak constraints at stopping times; Optimal control; Optimal stopping; Stochastic game; Stochastic target;All these keywords.
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