Multivalued backward stochastic differential equations with time delayed generators

Bakarime Diomande ; Lucian Maticiuc

Open Mathematics, Tome 12 (2014), p. 1624-1637 / Harvested from The Polish Digital Mathematics Library

Résumé

Our aim is to study the following new type of multivalued backward stochastic differential equation: -dYt+∂φYtdt∋Ft,Yt,Zt,Yt,Ztdt+ZtdWt,0⩽t⩽T,YT=ξ, where ∂φ is the subdifferential of a convex function and (Y t, Z t):= (Y(t + θ), Z(t + θ))θ∈[−T,0] represent the past values of the solution over the interval [0, t]. Our results are based on the existence theorem from Delong Imkeller, Ann. Appl. Probab., 2010, concerning backward stochastic differential equations with time delayed generators.

Détail

Publié le : 2014-01-01

Zbl 1307.60075

EUDML-ID : urn:eudml:doc:269286

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