# Discrete approximations of generalized RBSDE with random terminal time

Discussiones Mathematicae Probability and Statistics (2012)

- Volume: 32, Issue: 1-2, page 69-85
- ISSN: 1509-9423

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topKatarzyna Jańczak-Borkowska. "Discrete approximations of generalized RBSDE with random terminal time." Discussiones Mathematicae Probability and Statistics 32.1-2 (2012): 69-85. <http://eudml.org/doc/271072>.

@article{KatarzynaJańczak2012,

abstract = {The convergence of discrete approximations of generalized reflected backward stochastic differential equations with random terminal time in a general convex domain is studied. Applications to investigation obstacle elliptic problem with Neumann boundary condition for partial differential equations are given.},

author = {Katarzyna Jańczak-Borkowska},

journal = {Discussiones Mathematicae Probability and Statistics},

keywords = {generalized reflected BSDE; discrete approximation methods; viscosity solution; reflected backward stochastic differential equations; discrete approximations},

language = {eng},

number = {1-2},

pages = {69-85},

title = {Discrete approximations of generalized RBSDE with random terminal time},

url = {http://eudml.org/doc/271072},

volume = {32},

year = {2012},

}

TY - JOUR

AU - Katarzyna Jańczak-Borkowska

TI - Discrete approximations of generalized RBSDE with random terminal time

JO - Discussiones Mathematicae Probability and Statistics

PY - 2012

VL - 32

IS - 1-2

SP - 69

EP - 85

AB - The convergence of discrete approximations of generalized reflected backward stochastic differential equations with random terminal time in a general convex domain is studied. Applications to investigation obstacle elliptic problem with Neumann boundary condition for partial differential equations are given.

LA - eng

KW - generalized reflected BSDE; discrete approximation methods; viscosity solution; reflected backward stochastic differential equations; discrete approximations

UR - http://eudml.org/doc/271072

ER -

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