{
  "id": "1011.3223",
  "version": "v1",
  "published": "2010-11-14T12:21:33.000Z",
  "updated": "2010-11-14T12:21:33.000Z",
  "title": "Reflected generalized BSDEs with random time and applications",
  "authors": [
    "Auguste Aman",
    "Abouo Elouaflin",
    "Modeste N'zi"
  ],
  "comment": "20 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2010-11-14T12:21:33.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H20",
      "60H30",
      "60H99"
    ],
    "keywords": [
      "reflected generalized bsdes",
      "random time",
      "application",
      "infinite horizon",
      "nonlinear neumann boundary condition"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 20,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1011.3223A"
    }
  }
}