带有跳跃的双反射广义 BSDEs 和带有非线性 Neumann 边界条件的抛物 IPDEs 的障碍问题

IF 0.3 Q4 STATISTICS & PROBABILITY
Mohammed Elhachemy, M. El Otmani
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引用次数: 0

摘要

本文的主要目标是一个具有跳跃和两个障碍的一维广义后向随机微分方程。当生成器是单调的,障碍是右连续带左极限且完全分离时,我们证明了解的存在性和唯一性。在应用中,我们对具有非线性诺依曼边界条件的二阶抛物线积分偏微分方程的双障碍问题的解进行了概率解释。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Doubly reflected generalized BSDEs with jumps and an obstacle problem of parabolic IPDEs with nonlinear Neumann boundary conditions
A one-dimensional generalized backward stochastic differential equation with jumps and two barriers is the main objective of this paper. When the generators are monotone and the barriers are right continuous with left limits and completely separated, we prove the existence and uniqueness of a solution. As in application, we provide a probabilistic interpretation of a solution of a double obstacle problem of second-order parabolic integral-partial differential equations with nonlinear Neumann boundary conditions.
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来源期刊
Random Operators and Stochastic Equations
Random Operators and Stochastic Equations STATISTICS & PROBABILITY-
CiteScore
0.60
自引率
25.00%
发文量
24
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