Backward stochastic variational inequalities with locally bounded generators

DOI10.2478/AICU-2013-0023MaRDI QIDQ2806664zbMATH OpenOpenAlexFDO

Authors Lucian Maticiuc, Aurel Răşcanu, Adrian Zalinescu

Publication date 18 May 2016

Published in Analele Științifice ale Universității Al. I. Cuza din Iași. Serie Nouă. Matematică (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0808.0801

zbMATH Keywords

backward stochastic differential equationsstochastic variational inequalitiessubdifferential operators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Stochastic systems in control theory (general) (93E03)

Abstract: The paper deals with the existence and uniqueness of the solution of the backward stochastic variational inequality: �egin{equation} left{�egin{array} {l}-dY_{t}+partial varphi(Y_{t})dt i F(t,Y_{t},Z_{t})dt-Z_{t}dB_{t},;0leq t<T \ Y_{T}=eta, end{array} ight.end{equation} where $F$ satisfies a local boundedness condition.

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