Derivatives of solutions of semilinear parabolic PDEs and variational inequalities with Neumann boundary conditions

DOI10.1007/978-3-642-29982-7_7zbMATH Open1329.60196OpenAlexW58178708MaRDI QIDQ5261212FDOQ5261212

Authors: Denis Talay 

Publication date: 2 July 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-29982-7_7

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zbMATH Keywords

backward stochastic differential equationsvariational inequalitiesAmerican optionsreflected diffusionsartificial boundary conditionssemilinear parabolic partial differential equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Semilinear parabolic equations (35K58) Variational inequalities (49J40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cited In (3)

• Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions
• \(L_ p\)-estimate of derivatives of a generalized solution of the Neumann problem for higher order quasilinear equations
• Title not available (Why is that?)

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