Orateur
Manal Jakani
(ENSAE Paris)
Description
We consider a class of reflected stochastic differential equations 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 a standard type. As a consequence, we obtain an approximation scheme for the associated generalized backward stochastic differential equations in this markovian setting using standard backward stochastic differential equations. As a by-product, we get an approximation by a sequence of standard partial differential equations for the solution of a system of partial differential equations with nonlinear boundary conditions on time-dependent domains.
Auteur principal
Manal Jakani
(ENSAE Paris)
