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

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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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