Generalized BSDEs and nonlinear Neumann boundary value problems
نویسندگان
چکیده
We study a new class of backward stochastic dierential equations, which involves the integral with respect to a continuous increasing process. This allows us to give a probabilistic formula for solutions of semilinear partial dierential equations with Neumann boundary condition, where the boundary condition itself is nonlinear. We consider both parabolic and elliptic equations.
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