Backward stochastic differential equations with subdifferential operator and related variational inequalities

被引：52
|
作者：
Pardoux, E
Rascanu, A
机构：
[1] Univ Provence, LATP, URA CNRS 225, F-13453 Marseille 13, France
[2] Al I Cuza Univ, Dept Math, Iasi 6600, Romania
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1998年 / 76卷 / 02期
关键词：
backward stochastic equations; subdifferential operators; variational inequalities; viscosity solutions; probabilistic formulae for PDE;
D O I：
10.1016/S0304-4149(98)00030-1
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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. (C) 1998 Elsevier Science B.V. All rights reserved.
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页码：191 / 215
页数：25
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