Generalized RBSDEs with Random Terminal Time and Applications to PDEs

Katarzyna Jańczak-Borkowska. "Generalized RBSDEs with Random Terminal Time and Applications to PDEs." Bulletin of the Polish Academy of Sciences. Mathematics 59.1 (2011): 85-100. <http://eudml.org/doc/281199>.

@article{KatarzynaJańczak2011,
abstract = {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.},
author = {Katarzyna Jańczak-Borkowska},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
keywords = {generalized reflected BSDE; random terminal time; viscosity solution},
language = {eng},
number = {1},
pages = {85-100},
title = {Generalized RBSDEs with Random Terminal Time and Applications to PDEs},
url = {http://eudml.org/doc/281199},
volume = {59},
year = {2011},
}

TY - JOUR
AU - Katarzyna Jańczak-Borkowska
TI - Generalized RBSDEs with Random Terminal Time and Applications to PDEs
JO - Bulletin of the Polish Academy of Sciences. Mathematics
PY - 2011
VL - 59
IS - 1
SP - 85
EP - 100
AB - 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.
LA - eng
KW - generalized reflected BSDE; random terminal time; viscosity solution
UR - http://eudml.org/doc/281199
ER -