Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality

被引：5

作者：

Nie TianYang ^{[1
,2
]}

机构：

[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China

[2] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia

来源：

SCIENCE CHINA-MATHEMATICS | 2015年 / 58卷 / 04期

基金：

澳大利亚研究理事会;

关键词：

backward stochastic differential equations; variational inequalities; subdifferential operators; viscosity solutions; VISCOSITY SOLUTIONS; UNIQUENESS; EXISTENCE; BSDES; GAMES;

D O I：

10.1007/s11425-014-4887-y

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the existence and uniqueness of the solution to a forward-backward stochastic differential equation with subdifferential operator in the backward equation. This kind of equations includes, as a particular case, multi-dimensional forward-backward stochastic differential equation where the backward equation is reflected on the boundary of a closed convex (time-independent) domain. Moreover, we give a probabilistic interpretation for the viscosity solution of a kind of quasilinear variational inequalities.

引用

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页码：729 / 748

页数：20

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