Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
From MaRDI portal
Publication:3423724
DOI10.1080/07362990600870454zbMath1122.60055OpenAlexW2045370650MaRDI QIDQ3423724
Publication date: 15 February 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990600870454
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic analysis (60H99)
Related Items (27)
Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition ⋮ Reflected backward stochastic differential equations with perturbations ⋮ Generalized BSDE with two reflecting barriers ⋮ Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process ⋮ Reflected generalized BSDEs with random time and applications ⋮ Continuity of the Feynman–Kac formula for a generalized parabolic equation ⋮ Existence and uniqueness of bounded weak solutions of a semilinear parabolic PDE ⋮ Quadratic BSDEs with mean reflection driven by G-brownian motion ⋮ A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems ⋮ Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions ⋮ Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions ⋮ Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions ⋮ On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem ⋮ System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains ⋮ Doubly reflected BSDEs driven by a Lévy process ⋮ Reflected backward stochastic differential equations with time delayed generators ⋮ Stochastic recursive optimal control problem of reflected stochastic differential systems ⋮ Strong solutions of semilinear parabolic equations with measure data and generalized backward stochastic differential equations ⋮ Reflected backward stochastic differential equations with time-delayed generators ⋮ Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process ⋮ On solutions of backward stochastic Volterra integral equations with jumps in Hilbert spaces ⋮ Lp -solution of reflected generalized BSDEs with non-Lipschitz coefficients ⋮ Generalized reflected backward stochastic differential equations ⋮ Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes ⋮ Homogenization of reflected semilinear PDEs with nonlinear Neumann boundary condition ⋮ REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS ⋮ On generalized reflected BSDEs with Rcll obstacle
Cites Work
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations with reflection and Dynkin games
- Un schéma multipas d'approximation de l'équation de Langevin. (A multistep approximation method for the Langevin equation)
- Probabilistic interpretation of a system of quasilinear elliptic partial differential equations under Neumann boundary conditions
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Probabilistic interpretation of a system of semilinear parabolic partial differential equations
- Generalized BSDEs and nonlinear Neumann boundary value problems
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Stochastic differential equations with reflecting boundary conditions
- Reflected forward-backward SDEs and obstacle problems with boundary conditions
This page was built for publication: Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
