Generalized RBSDEs with Random Terminal Time and Applications to PDEs

DOI10.4064/BA59-1-10MaRDI QIDQ3008470zbMATH OpenOpenAlexFDO

Authors Katarzyna Janczak-Borkowska

Publication date 15 June 2011

Published in Bulletin Polish Acad. Sci. Math. (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://semanticscholar.org/paper/9acfe6f32946708617690f93eb4f75b3d1bb265c

zbMATH Keywords

generalized reflected BSDErandom terminal timeviscosity solution

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic systems (35J57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(7)

• On optimal stopping and free boundary problems under ambiguity
• Discrete approximations of generalized RBSDE with random terminal time
• Generalized backward stochastic variational inequalities driven by a fractional Brownian motion
• Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition
• Generalized reflected backward stochastic differential equations
• Reflected generalized BSDEs with random time and applications
• Generalized BSDE and reflected BSDE with random time horizon

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