Geodesic
Discrete approximations of generalized RBSDE with random terminal time
Discussiones Mathematicae. Probability and Statistics, Tome 32 (2012) no. 1-2, pp. 69-85

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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: generalized reflected BSDE, discrete approximation methods, viscosity solution 
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     author = {Ja\'nczak-Borkowska, Katarzyna},
     title = {Discrete approximations of generalized {RBSDE} with random terminal time},
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Jańczak-Borkowska, Katarzyna. Discrete approximations of generalized RBSDE with random terminal time. Discussiones Mathematicae. Probability and Statistics, Tome 32 (2012) no. 1-2, pp. 69-85. http://geodesic.mathdoc.fr/item/DMPS_2012_32_1-2_a5/