Reflected solutions of backward SDE's, and related obstacle problems for PDE's

Annals of Probability

Volumn 25, Issue 2, 1997, Pages 702-737

  El Karoui, N ^a,b   Kapoudjian, C ^a,d   Pardoux, E ^a,c   Peng, S ^a,e   Quenez, M C ^a,f  

^a SORBONNE UNIVERSITÉ   (France)

^b University of Paris VII LPSM partially supported by ERC Starting Grant 680275 MALIG   (France)

^c CNRS   (France)

^d UNIVERSITÉ DE LYON   (France)

^e SHANDONG UNIVERSITY   (China)

^f UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

Backward stochastic differential equation; Obstacle problems for second order parabolic PDE; Probabilistic representation of solution of second order parabolic PDE

Indexed keywords

EID: 0031483012     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1024404416     Document Type: Article

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