BSDES WITH A RANDOM TERMINAL TIME DRIVEN BY A MONOTONE GENERATOR AND THEIR LINKS WITH PDES

Manuela Royer (1)

1 ASPI - Applications of interacting particle systems to statistics

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.

Mots clés: Monotone generator; Viscosity solutions; Backward stochastic differential equations; Probabilistic formulae for elliptic PDE

Domaines: Probabilités [math.PR]

Manuela Royer. BSDES WITH A RANDOM TERMINAL TIME DRIVEN BY A MONOTONE GENERATOR AND THEIR LINKS WITH PDES. Stochastics and Stochastics Reports, 2004, 76 (4), pp.281-307. ⟨10.1080/10451120410001696270⟩. ⟨hal-01107376⟩