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Generalized reflected BSDEs driven by a Lévy 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 |
| UTAS Author: | Ren, Yong (Dr Yong Ren) |
| ID Code: | 59562 |
| Year Published: | 2010 |
| Web of Science® Times Cited: | 16 |
| Deposited By: | Mathematics |
| Deposited On: | 2009-12-10 |
| Last Modified: | 2011-03-23 |
| Downloads: | 0 |
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