Constrained BSDE and Viscosity Solutions of Variation Inequalities

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dc.creatorPeng, Shige
dc.creatorXu, Mingyu
dc.date2007-12-03
dc.date2008-07-16
dc.date.accessioned2026-07-07T09:50:19Z
dc.date.available2026-07-07T09:50:19Z
dc.descriptionIn this paper, we study the relation between the smallest $g$-supersolution of constraint backward stochastic differential equation and viscosity solution of constraint semilineare parabolic PDE, i.e. variation inequalities. And we get an existence result of variation inequalities via constraint BSDE, and prove a uniqueness result under certain condition.
dc.identifierhttps://arxiv.org/abs/0712.0306
dc.identifierhttp://arxiv.org/abs/0712.0306
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/164903
dc.subjectSymplectic Geometry
dc.subjectProbability
dc.subject60H10,35J20
dc.titleConstrained BSDE and Viscosity Solutions of Variation Inequalities
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