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ArticleOriginal scientific text

Title

Discrete approximations of generalized RBSDE with random terminal time

Authors 1

Affiliations

  1. Institute of Mathematics and Physics, University of Technology and Life Sciences, Kaliskiego 7, 85-796 Bydgoszcz, Poland

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.

Keywords

ENG
generalized reflected BSDE, discrete approximation methods, viscosity solution

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Discussiones Mathematicae Probability and Statistics
2012/32/1-2
Export to PBN, Opens in new tab
Pages:
69-85
Main language of publication
English
Received
2012-09-16
Published
2012

DOI: 10.7151/dmps1145

Exact and natural sciences