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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 28, Fasc. 1,
pages 41 - 74
 

DISCRETE APPROXIMATIONS OF REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM TERMINAL TIME

Katarzyna Jańczak

Abstract: We study convergence of discrete approximations of reflected backward stochastic differential equations with random terminal time in a general convex domain. Applications to investigation of the viability property for backward stochastic differential equations and to obstacle problem for partial differential equations are given.

2000 AMS Mathematics Subject Classification: Primary: 60H10, 60Gxx; Secondary: 35J25, 35K20.

Key words and phrases: Reflected backward stochastic differential equations, random terminal time, discrete approximation methods.

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