Generalized RBSDEs with Random Terminal Time and Applications to PDEs

• Autorzy: Katarzyna Jańczak-Borkowska
• 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.

Kategorie tematyczne

• 35J57: Boundary value problems for second-order elliptic systems
• 60Gxx: Stochastic processes
• 60H10: Stochastic ordinary differential equations

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2011
• Tom: 59
• Numer: 1
• Strony: 85-100

Daty

wydano

2011

Twórcy

autor

Katarzyna Jańczak-Borkowska

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

Identyfikatory

DOI

10.4064/ba59-1-10