Mathematics – Symplectic Geometry
Scientific paper
2007-12-03
Mathematics
Symplectic Geometry
Scientific paper
In this paper, we study the relation between the smallest $g$-supersolution
of constraint backward stochastic differential equation and viscosity solution
of constraint semilineare parabolic PDE, i.e. variation inequalities. And we
get an existence result of variation inequalities via constraint BSDE, and
prove a uniqueness result under certain condition.
Peng Shige
Xu Mingyu
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