Backward stochastic differential equations with subdifferential operator and related variational inequalities

Etienne Pardoux and Aurel Rascanu

Stochastic Processes and their Applications, 1998, vol. 76, issue 2, 191-215

Abstract: 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.

Keywords: Backward; stochastic; equations; Subdifferential; operators; Variational; inequalities; Viscosity; solutions; Probabilistic; formulae; for; PDE (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (10)

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