IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v125y2015i8p3170-3195.html
   My bibliography  Save this article

Multivalued backward stochastic differential equations with oblique subgradients

Author

Listed:
  • Gassous, Anouar M.
  • Răşcanu, Aurel
  • Rotenstein, Eduard

Abstract

We study the existence and uniqueness of the solution for the following backward stochastic variational inequality with oblique reflection (for short, BSVI(H(t,y)∂φ(y))), written under differential form {−dYt+H(t,Yt)∂φ(Yt)(dt)∋F(t,Yt,Zt)dt−ZtdBt,t∈[0,T],YT=η, where H is a bounded symmetric smooth matrix and φ is a proper convex lower semicontinuous function, with ∂φ being its subdifferential operator. The presence of the product H∂φ does not permit the use of standard techniques because it conserves neither the Lipschitz property of the matrix nor the monotonicity property of the subdifferential operator. We prove that, if we consider the dependence of H only on the time, the equation admits a unique strong solution and, allowing the dependence on the state of the system, the above BSVI(H(t,y)∂φ(y)) admits a weak solution in the sense of the Meyer–Zheng topology. However, for that purpose we must renounce at the dependence on Z for the generator function and we situate our problem in a Markovian framework.

Suggested Citation

  • Gassous, Anouar M. & Răşcanu, Aurel & Rotenstein, Eduard, 2015. "Multivalued backward stochastic differential equations with oblique subgradients," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3170-3195.
  • Handle: RePEc:eee:spapps:v:125:y:2015:i:8:p:3170-3195
    DOI: 10.1016/j.spa.2015.03.001
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S030441491500068X
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.spa.2015.03.001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Maticiuc, Lucian & Rascanu, Aurel, 2010. "A stochastic approach to a multivalued Dirichlet-Neumann problem," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 777-800, June.
    2. Gassous, Anouar M. & Răşcanu, Aurel & Rotenstein, Eduard, 2012. "Stochastic variational inequalities with oblique subgradients," Stochastic Processes and their Applications, Elsevier, vol. 122(7), pages 2668-2700.
    3. Boufoussi, B. & van Casteren, J., 2004. "An approximation result for a nonlinear Neumann boundary value problem via BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 331-350, December.
    4. Pardoux, Etienne & Rascanu, Aurel, 1998. "Backward stochastic differential equations with subdifferential operator and related variational inequalities," Stochastic Processes and their Applications, Elsevier, vol. 76(2), pages 191-215, August.
    5. Lejay, Antoine, 2002. "BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogenization," Stochastic Processes and their Applications, Elsevier, vol. 97(1), pages 1-39, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Maticiuc, Lucian & Răşcanu, Aurel, 2016. "On the continuity of the probabilistic representation of a semilinear Neumann–Dirichlet problem," Stochastic Processes and their Applications, Elsevier, vol. 126(2), pages 572-607.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Maticiuc, Lucian & Răşcanu, Aurel, 2016. "On the continuity of the probabilistic representation of a semilinear Neumann–Dirichlet problem," Stochastic Processes and their Applications, Elsevier, vol. 126(2), pages 572-607.
    2. Lu, Wen & Ren, Yong & Hu, Lanying, 2015. "Mean-field backward stochastic differential equations with subdifferential operator and its applications," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 73-81.
    3. Bender, Christian, 2014. "Backward SDEs driven by Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2892-2916.
    4. Boufoussi, B. & van Casteren, J., 2004. "An approximation result for a nonlinear Neumann boundary value problem via BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 331-350, December.
    5. Maticiuc, Lucian & Rascanu, Aurel, 2010. "A stochastic approach to a multivalued Dirichlet-Neumann problem," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 777-800, June.
    6. Klimsiak, Tomasz & Rozkosz, Andrzej & Słomiński, Leszek, 2015. "Reflected BSDEs in time-dependent convex regions," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 571-596.
    7. Eduard Rotenstein, 2008. "Pricing financial derivatives by a minimizing method," Papers 0811.4613, arXiv.org, revised Oct 2013.
    8. Zălinescu, Adrian, 2014. "Stochastic variational inequalities with jumps," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 785-811.
    9. Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
    10. Confortola, Fulvia, 2007. "Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity," Stochastic Processes and their Applications, Elsevier, vol. 117(5), pages 613-628, May.
    11. Bensoussan, Alain & Li, Yiqun & Yam, Sheung Chi Phillip, 2018. "Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities," Stochastic Processes and their Applications, Elsevier, vol. 128(2), pages 644-688.
    12. Lejay, Antoine, 2004. "A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE," Stochastic Processes and their Applications, Elsevier, vol. 110(1), pages 145-176, March.
    13. Lucian Maticiuc & Tianyang Nie, 2015. "Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities," Journal of Theoretical Probability, Springer, vol. 28(1), pages 337-395, March.
    14. Cordoni, Francesco & Di Persio, Luca & Maticiuc, Lucian & Zălinescu, Adrian, 2020. "A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1669-1712.
    15. Xing, Hao & Žitković, Gordan, 2018. "A class of globally solvable Markovian quadratic BSDE systems and applications," LSE Research Online Documents on Economics 73440, London School of Economics and Political Science, LSE Library.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:125:y:2015:i:8:p:3170-3195. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.