Generalized RBSDEs with Random Terminal Time and Applications to PDEs
Volume 59 / 2011
Bulletin Polish Acad. Sci. Math. 59 (2011), 85-100
MSC: Primary 60H10, 60Gxx; Secondary 35J57.
DOI: 10.4064/ba59-1-10
Abstract
Generalized reflected backward stochastic differential equations have been considered so far only in the case of a deterministic interval. In this paper the existence and uniqueness of solution for generalized reflected backward stochastic differential equations in a convex domain with random terminal time is studied. Applications to the obstacle problem with Neumann boundary conditions for partial differential equations of elliptic type are given.
