Discrete approximations of generalized RBSDE with random terminal time
Katarzyna Jańczak-Borkowska
Discussiones Mathematicae Probability and Statistics, Tome 32 (2012), p. 69-85 / Harvested from The Polish Digital Mathematics Library
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The convergence of discrete approximations of generalized reflected backward stochastic differential equations with random terminal time in a general convex domain is studied. Applications to investigation obstacle elliptic problem with Neumann boundary condition for partial differential equations are given.

Publié le : 2012-01-01
EUDML-ID : urn:eudml:doc:271072 
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     author = {Katarzyna Ja\'nczak-Borkowska},
     title = {Discrete approximations of generalized RBSDE with random terminal time},
     journal = {Discussiones Mathematicae Probability and Statistics},
     volume = {32},
     year = {2012},
     pages = {69-85},
     zbl = {1311.60062},
     language = {en},
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Katarzyna Jańczak-Borkowska. Discrete approximations of generalized RBSDE with random terminal time. Discussiones Mathematicae Probability and Statistics, Tome 32 (2012) pp. 69-85. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1145/

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