Generalized reflected backward stochastic differential equations

DOI10.1080/17442500802299007zbMath1165.60327OpenAlexW2004695800MaRDI QIDQ3630057

Katarzyna Jańczak

Publication date: 2 June 2009

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://www.informaworld.com/smpp/./content~db=all~content=a910733680

zbMATH Keywords

viscosity solutionreflected BSDEdiscrete approximation methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20)

Related Items (1)

Generalized backward stochastic variational inequalities driven by a fractional Brownian motion

Cites Work

• Unnamed Item
• On the robustness of backward stochastic differential equations.
• Euler's approximations of solutions of SDEs with reflecting boundary.
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Stochastic differential equations with reflecting boundary conditions
• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe
• Donsker-type theorem for BSDEs

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