Approximation of reflected SDEs in non-smooth time-dependent domains and application to fully nonlinear PDEs with Neumann boundary condition on time-dependent domains - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail (Preprint/Prepublication) Année : 2023

Approximation of reflected SDEs in non-smooth time-dependent domains and application to fully nonlinear PDEs with Neumann boundary condition on time-dependent domains

Résumé

We consider a class of reflected SDEs in non-smooth time-dependent domains with time sections that are increasing with time. We provide a strong approximation for this type of equations using a sequence of standard SDEs. As a consequence, we obtain an approximation scheme for the associated generalized BSDEs in this markovian setting using standard BSDEs. As a by-product, we get an approximation by a sequence of standard PDEs for the solution of a system of PDEs with nonlinear boundary conditions on time-dependent domains.
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Dates et versions

hal-04118563 , version 1 (06-06-2023)

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  • HAL Id : hal-04118563 , version 1

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Manal Jakani. Approximation of reflected SDEs in non-smooth time-dependent domains and application to fully nonlinear PDEs with Neumann boundary condition on time-dependent domains. 2023. ⟨hal-04118563⟩
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