Generalized BSDEs and nonlinear Neumann boundary value problems
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The authors provide probabilistic formulas for viscosity solutions of systems of semilinear partial differential equations (of parabolic or elliptic type), with nonlinear Neumann boundary condition [for similar programmes, see also \textit{S. Peng}, Stochastics Stochastics Rep. 37, No. 1/2, 61-74 (1991; Zbl 0739.60060), \textit{E. Pardoux} and \textit{S. Peng}, in: Stochastic partial differential equations and their applications. Lect. Notes Control Inf. Sci. 176, 200-217 (1992; Zbl 0766.60079), \textit{Y. Hu}, Stochastic Processes Appl. 48, No. 1, 107-121 (1993; Zbl 0789.60047), \textit{E. Pardoux}, \textit{F. Pradeilles} and \textit{Z. Rao}, Ann. Inst. Henri Poincaré, Probab. Stat. 33, No. 4, 467-490 (1997; Zbl 0891.60054), \textit{R. W. R. Darling} and \textit{E. Pardoux}, Ann. Probab. 25, No. 3, 1135-1159 (1997; Zbl 0895.60067)]. For this, one needs to study a backward stochastic differential equation with an additional term, which is an integral with respect to a continuous increasing process (local time). Also, in the probabilistic formula for the solution of the partial differential equation, one uses a reflected diffusion process, the properties of which are studied [see also \textit{P. L. Lions} and \textit{A. S. Sznitman}, Commun. Pure Appl. Math. 37, 511-537 (1984; Zbl 0598.60060)]. An infinite horizon backward stochastic differential equation, of same type, is also solved.
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