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Generalized RBSDEs with Random Terminal Time and Applications to PDEs

Tom 59 / 2011

Katarzyna Jańczak-Borkowska Bulletin Polish Acad. Sci. Math. 59 (2011), 85-100 MSC: Primary 60H10, 60Gxx; Secondary 35J57. DOI: 10.4064/ba59-1-10

Streszczenie

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.

Autorzy

  • Katarzyna Jańczak-BorkowskaInstitute of Mathematics and Physics
    University of Technology and Life Sciences
    Kaliskiego 7
    85-796 Bydgoszcz, Poland
    e-mail

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