Work

Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions

Year: 2007

Type: article

Abstract: In this paper a new class of generalized backward doubly stochastic differential equations is investigated. This class involves an integral with respect to an adapted continuous increasing process. A probabilistic representation for viscosity solutions of semi-linear stochastic partial differential equations with a Neumann boundary condition is given.

Source: Bernoulli

DOI: 10.3150/07-bej5092

Authors: Brahim Boufoussi, Jan Van Casteren, N. Mrhardy

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Vlaamse regering

OpenAlex ID: W2111795360

FWCI: 4.14

Cites: 9

Cited by: 44

Related to: 10