An approximation result for a nonlinear Neumann boundary value problem via BSDEs

DOI10.1016/j.spa.2004.06.003zbMath1073.60062OpenAlexW1980511052MaRDI QIDQ2485812

Jan A. Van Casteren, Brahim Boufoussi

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.06.003

zbMATH Keywords

backward stochastic differential equationpenalization methodnonlinear Neumann problemreflected diffusion\(S\)-topology

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Theoretical approximation in context of PDEs (35A35) Convergence of probability measures (60B10)

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Penalization for a PDE with a nonlinear Neumann boundary condition and measurable coefficients, Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain, On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem, Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions, An approximation result for nonlinear SPDEs with Neumann boundary conditions, Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition, Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition, Multivalued backward stochastic differential equations with oblique subgradients

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