Backward stochastic variational inequalities under weak assumptions on the data

Details Backward stochastic variational inequalities under weak assumptions on the data Backward stochastic variational inequalities under weak assumptions on the data

2008-08-06

arxiv.org/abs/0808.0801v1

Mathematics

Probability

22 pages

Scientific paper

The aim of this paper is to study the existence and uniqueness of the solution of the backward stochastic differential equations involving the subdifferential operator $\partial\varphi$ (also called backward stochastic variational inequalities): \[ {\begin{array} [c]{l}% -dY_{t}+\partial\varphi(Y_{t}) dt\ni F(t,Y_{t}%, Z_{t}) dt-Z_{t}dB_{t}, 0\leq t

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