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