BACKWARD STOCHASTIC DIFFERENTIAL-EQUATIONS WITH SUBDIFFERENTIAL OPERATOR AND RELATED VARIATIONAL-INEQUALITIES

Authors
PARDOUX E RASCANU A
Citation
E. Pardoux et A. Rascanu, BACKWARD STOCHASTIC DIFFERENTIAL-EQUATIONS WITH SUBDIFFERENTIAL OPERATOR AND RELATED VARIATIONAL-INEQUALITIES, Stochastic processes and their applications, 76(2), 1998, pp. 191-215
Citations number
11
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
76
Issue
2
Year of publication
1998
Pages
191 - 215
Database
ISI
SICI code
0304-4149(1998)76:2<191:BSDWSO>2.0.ZU;2-V
Abstract
The existence and uniqueness of the solution of a backward SDE, on a r andom (possibly infinite) time interval, involving a subdifferential o perator is proved. We then obtain a probabilistic interpretation for t he viscosity solution of some parabolic and elliptic variational inequ alities. (C) 1998 Elsevier Science B.V. All rights reserved.