Title of article
Backward stochastic differential equations with subdifferential operator and related variational inequalities
Author/Authors
Pardoux، نويسنده , , Etienne and R??canu، نويسنده , , Aurel، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
25
From page
191
To page
215
Abstract
The existence and uniqueness of the solution of a backward SDE, on a random (possibly infinite) time interval, involving a subdifferential operator is proved. We then obtain a probabilistic interpretation for the viscosity solution of some parabolic and elliptic variational inequalities.
Keywords
Subdifferential operators , Backward stochastic equations , Variational inequalities , viscosity solutions , Probabilistic formulae for PDE
Journal title
Stochastic Processes and their Applications
Serial Year
1998
Journal title
Stochastic Processes and their Applications
Record number
1576282
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