Backward stochastic variational inequalities with locally bounded generators
Probability
2015-10-30 v2 Dynamical Systems
Abstract
The paper deals with the existence and uniqueness of the solution of the backward stochastic variational inequality: \begin{equation} \left\{\begin{array} {l}-dY_{t}+\partial \varphi(Y_{t})dt \ni F(t,Y_{t},Z_{t})dt-Z_{t}dB_{t},\;0\leq t<T \\ Y_{T}=\eta, \end{array} \right.\end{equation} where satisfies a local boundedness condition.
Cite
@article{arxiv.0808.0801,
title = {Backward stochastic variational inequalities with locally bounded generators},
author = {Lucian Maticiuc and Aurel Rascanu and Adrian Zalinescu},
journal= {arXiv preprint arXiv:0808.0801},
year = {2015}
}
Comments
Minor edits and a slight change to title have been made