Reflected generalized BSDEs with random time and applications

Details Reflected generalized BSDEs with random time and applications Reflected generalized BSDEs with random time and applications

2010-11-14

arxiv.org/abs/1011.3223v1

Mathematics

Probability

20 pages

Scientific paper

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. Next, as an application, we get an American pricing option in infinite horizon and we 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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