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Generalized BSDEs and nonlinear Neumann boundary value problems |
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| Authors: | Etienne Pardoux Shuguang Zhang |
| Institution: | (1) Laboratoire d'Analyse, Topologie, Probabilités, CNRS-UMR 6632, Centre de Mathématiques et Informatique, Université de Provence, 39, rue F. Joliot-Curie F-13453 Marseille Cedex 13, France, FR;(2) Department of Statistics and Finance, University of Science and Technology of China, Hefei, Anhui Province, 230026, P.R. China, CN |
| Abstract: | Summary. We study a new class of backward stochastic differential equations, which involves the integral with respect to a continuous increasing process. This allows us to give a probabilistic formula for solutions of semilinear partial differential equations with Neumann boundary condition, where the boundary condition itself is nonlinear. We consider both parabolic and elliptic equations. Received: 27 September 1996 / In revised form: 1 December 1997 |
| Keywords: | Mathematics Subject Classification (1991): 60H99 60H30 35J60 |
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