Backward stochastic differential equations with subdifferential operator and related variational inequalities

The existence and uniqueness of the solution of a backward SDE, on a random (possibly infinite) time interval, involving a subdifferential operator is proved. We then obtain a probabilistic interpretation for the viscosity solution of some parabolic and elliptic variational inequalities.

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Year of publication:	1998
Authors:	Pardoux, Etienne ; Rascanu, Aurel
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 76.1998, 2, p. 191-215
Publisher:	Elsevier
Keywords:	Backward stochastic equations Subdifferential operators Variational inequalities Viscosity solutions Probabilistic formulae for PDE

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874471