Backward stochastic variational inequalities on random interval

DOI10.3150/14-BEJ601zbMath1332.60085arXiv1112.5792MaRDI QIDQ2348739

Aurel Răşcanu, Lucian Maticiuc

Publication date: 15 June 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.5792

zbMATH Keywords

stopping timesubdifferentialbackward stochastic partial differential equationsbackward stochastic variational inequalitiesmultivalued generalized backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Nonsmooth analysis (49J52) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic analysis (60H99) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (9)

Continuity of the Feynman–Kac formula for a generalized parabolic equation ⋮ Multi-valued backward stochastic differential equations driven byG-Brownian motion and its applications ⋮ Multivalued backward stochastic differential equations with time delayed generators ⋮ Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities ⋮ Anticipated backward stochastic variational inequalities with generalized reflection ⋮ Obstacle problems for parabolic SDEs with Hölder continuous diffusion: from weak to strong solutions ⋮ A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance ⋮ L^p-Variational solutions of multivalued backward stochastic differential equations ⋮ Approximation of a degenerate semilinear PDE with a nonlinear Neumann boundary condition

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