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2012 Reflected Generalized BSDEs with Random Time andApplications
A. Aman, A. Elouaflin, M. N’Zi
Afr. Diaspora J. Math. (N.S.) 14(1): 83-105 (2012).


In this paper, we aim to study solutions of reflected generalized BSDEs, involving the integral with respect to a continuous process, which is the local time of the diffusion on the boundary. We consider both a finite random terminal and a infinite horizon. In both case, we establish an existence and uniqueness result. As application, we give a characterization of an American pricing option in infinite horizon; and we also give a probabilistic formula for the viscosity solution of an obstacle problem for elliptic PDEs with a nonlinear Neumann boundary condition.


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A. Aman. A. Elouaflin. M. N’Zi. "Reflected Generalized BSDEs with Random Time andApplications." Afr. Diaspora J. Math. (N.S.) 14 (1) 83 - 105, 2012.


Published: 2012
First available in Project Euclid: 18 July 2013

zbMATH: 1279.60083
MathSciNet: MR3080399

Primary: 60H20, 60H30, 60H99

Keywords: American option pricing , elliptic PDEs , generalized backward stochastic differential equations , Neumann boundary condition , viscosity solution

Rights: Copyright © 2012 Mathematical Research Publishers


Vol.14 • No. 1 • 2012
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