Generalized RBSDEs with random terminal time and applications to PDEs

• Autorzy: Jańczak-Borkowska K.
• Języki publikacji: EN

Abstrakty

EN

Generalized reflected backward stochastic differential equations have been considered so far only in the case of a deterministic interval. In this paper the existence and uniqueness of solution for generalized reflected backward stochastic differential equations in a convex domain with random terminal time is studied. Applications to the obstacle problem with Neumann boundary conditions for partial differential equations of elliptic type are given.

Słowa kluczowe

EN

generalized reflected BSDE; random terminal time; viscosity solution

• Wydawca: Instytut Matematyczny PAN
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2011
• Tom: Vol. 59, no 1
• Strony: 85--100
• Opis fizyczny: Bibliogr. 11 poz.

Twórcy

autor

Jańczak-Borkowska K.

• Institute of Mathematics and Physics, University of Technology and Life Sciences, Kaliskiego 7,

Bibliografia

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