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- W2964111998 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. As application, we give a characterization of an American pricing option in infinite horizon; and we also give a probabilistic formula for the viscosity solution of an obstacle problem for elliptic PDEs with a nonlinear Neumann boundary condition." @default.
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- W2964111998 date "2012-12-01" @default.
- W2964111998 modified "2023-10-17" @default.
- W2964111998 title "Reflected Generalized BSDEs with Random Time and Applications" @default.
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