Generalized Reflected BSDE and an Obstacle Problem for PDEs with a Nonlinear Neumann Boundary Condition

DOI10.1080/07362990600870454zbMath1122.60055MaRDI QIDQ3423724

Yong Ren, Ning-Mao Xia

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600870454

zbMATH Keywords

reflection; viscosity solution; backward stochastic differential equations; penalization method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H99: Stochastic analysis