BSDES WITH A RANDOM TERMINAL TIME DRIVEN BY A MONOTONE GENERATOR AND THEIR LINKS WITH PDES
Royer, Manuela
HAL, hal-01107376 / Harvested from HAL
Text on HAL
In thispaper, we study one-dimensional backward stochastic differential equations (BSDE) with a random terminal time driven by a monotone generator, and their links with elliptic partial differential equations. Firstly, we present the case of B SDEs driven by a strictly monotone generator, a nd next we consider BSDEs driven by a monotone generator.
Publié le : 2004-08-04
Classification:  Monotone generator,  Viscosity solutions,  Backward stochastic differential equations,  Probabilistic formulae for elliptic PDE,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-01107376,
     author = {Royer, Manuela},
     title = {BSDES WITH A RANDOM TERMINAL TIME DRIVEN BY A MONOTONE GENERATOR AND THEIR LINKS WITH PDES},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01107376}
}

Royer, Manuela. BSDES WITH A RANDOM TERMINAL TIME DRIVEN BY A MONOTONE GENERATOR AND THEIR LINKS WITH PDES. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-01107376/