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Generalized RBSDEs with random terminal time and applications to PDEs

Jańczak-Borkowska K.

Bulletin of the Polish Academy of Sciences. Mathematics

2011

Vol. 59, no 1

85-100

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.