Geodesic
Generalized RBSDEs with Random Terminal Time and Applications to PDEs
Katarzyna Jańczak-Borkowska1
1 Institute of Mathematics and Physics University of Technology and Life Sciences Kaliskiego 7 85-796 Bydgoszcz, Poland
Bulletin of the Polish Academy of Sciences. Mathematics, Tome 59 (2011) no. 1, pp. 85-100

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/ba59-1-10
Keywords: generalized reflected backward stochastic differential equations have considered far only deterministic interval paper existence uniqueness solution generalized reflected backward stochastic differential equations convex domain random terminal time studied applications obstacle problem neumann boundary conditions partial differential equations elliptic type given

Katarzyna Jańczak-Borkowska 1

1 Institute of Mathematics and Physics University of Technology and Life Sciences Kaliskiego 7 85-796 Bydgoszcz, Poland 
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Katarzyna Jańczak-Borkowska. Generalized RBSDEs with Random Terminal Time
 and Applications to PDEs. Bulletin of the Polish Academy of Sciences. Mathematics, Tome 59 (2011) no. 1, pp. 85-100. doi: 10.4064/ba59-1-10

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