CONSTRAINED BSDES, VISCOSITY SOLUTIONS OF VARIATIONAL INEQUALITIES AND THEIR APPLICATIONS

被引：3
|
作者：
Peng, Shige [1 ]
Xu, Mingyu [2 ]
机构：
[1] Shandong Univ, Sch Math & Syst Sci, Jinan 250100, Peoples R China
[2] Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Key Lab Random Complex Struct & Data Sci, Beijing 100080, Peoples R China
来源：
MATHEMATICAL CONTROL AND RELATED FIELDS | 2013年 / 3卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Backward stochastic differential equation with a constraint; viscosity solution; variational inequality; STOCHASTIC DIFFERENTIAL-EQUATIONS; CONTINGENT CLAIMS; REFLECTED BSDE; BACKWARD SDES;
D O I：
10.3934/mcrf.2013.3.233
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we study the relation between the smallest g -supersolution of constrained backward stochastic differential equation and viscosity solution of constraint semilinear parabolic PDE, i.e. variation inequalities. And we get an existence result of variation inequalities via constrained BSDE, and prove a uniqueness result with a condition on the constraint. Then we use these results to give a probabilistic interpretation result for reflected BSDE with a discontinuous barrier and other kind of reflected BSDE.
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页码：233 / 244
页数：12
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