Backward stochastic differential equations with subdifferential operator and related variational inequalities

DOI10.1016/S0304-4149(98)00030-1zbMath0932.60070OpenAlexW2093778414MaRDI QIDQ1805783

Aurel Răşcanu, Etienne Pardoux

Publication date: 18 November 1999

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00030-1

zbMATH Keywords

variational inequalitiesbackward stochastic equationssubdifferential operators

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cites Work

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• Backward stochastic differential equations with reflection and Dynkin games
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• User’s guide to viscosity solutions of second order partial differential equations
• On degenerate elliptic-parabolic operators of second order and their associated diffusions
• Equations différentielles stochastiques rétrogrades réfléchies dans un convexe

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