Generalized reflected backward stochastic differential equations have been considered so far only in the case of a deterministic interval. In this paper the existence and uniqueness of solution for generalized reflected backward stochastic differential equations in a convex domain with random terminal time is studied. Applications to the obstacle problem with Neumann boundary conditions for partial differential equations of elliptic type are given.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-ba59-1-10,
author = {Katarzyna Ja\'nczak-Borkowska},
title = {Generalized RBSDEs with Random Terminal Time and Applications to PDEs},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
volume = {59},
year = {2011},
pages = {85-100},
zbl = {1218.60049},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-ba59-1-10}
}
Katarzyna Jańczak-Borkowska. Generalized RBSDEs with Random Terminal Time and Applications to PDEs. Bulletin of the Polish Academy of Sciences. Mathematics, Tome 59 (2011) pp. 85-100. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-ba59-1-10/