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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