An approximation result for a nonlinear Neumann boundary value problem via BSDEs

B. Boufoussi and J. van Casteren

Stochastic Processes and their Applications, 2004, vol. 114, issue 2, 331-350

Abstract: We prove a weak convergence result for a sequence of backward stochastic differential equations related to a semilinear parabolic partial differential equation; under the assumption that the diffusion corresponding to the PDEs is obtained by penalization method converging to a normal reflected diffusion on a smooth and bounded domain D. As a consequence we give an approximation result to the solution of semilinear parabolic partial differential equations with nonlinear Neumann boundary conditions. A similar result in the linear case was obtained by Lions et al. in 1981.

Keywords: Backward; stochastic; differential; equation; Reflected; diffusion (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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