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Generalized reflected BSDEs driven by a Lvy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition

Citation

Ren, Yong and Otmani, ME, Generalized reflected BSDEs driven by a Levy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition, Journal of Computational and Applied Mathematics, 233, (8) pp. 2027-2043. ISSN 0377-0427 (2010) [Refereed Article]

DOI: doi:10.1016/j.cam.2009.09.037

Abstract

In this paper, we derive the existence and uniqueness of the solution for a class of generalized reflected backward stochastic differential equations (GRBSDEs in short) driven by a Lévy process, which involve the integral with respect to a continuous process by means of the Snell envelope, the penalization method and the fixed point theorem. In addition, we obtain the comparison theorem for the solutions of the GRBSDEs. As an application, we give a probabilistic formula for the viscosity solution of an obstacle problem for a class of partial differential-integral equations (PDIEs in short) with a nonlinear Neumann boundary condition. Crown Copyright © 2009.

Item Details

Item Type:Refereed Article
Research Division:Mathematical Sciences
Research Group:Pure Mathematics
Research Field:Partial Differential Equations
Objective Division:Expanding Knowledge
Objective Group:Expanding Knowledge
Objective Field:Expanding Knowledge in the Mathematical Sciences
Author:Ren, Yong (Dr Yong Ren)
ID Code:59562
Year Published:2010
Web of Science® Times Cited:8
Deposited By:Mathematics
Deposited On:2009-12-10
Last Modified:2011-03-23
Downloads:0

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