Viability property for a backward stochastic differential equation and applications to partial differential equations

• DOI: 10.1007/s004400050260
• Publication Date: 2002-08-25T09:25:39Z
• Authors: Rainer Buckdahn; Marc Quincampoix; Aurel Răşcanu
• Keywords: 0101 mathematics; 01 natural sciences

In the present paper, we study conditions under which the solutions of a backward stochastic differential equation remains in a given set of constraints. This property is the so-called “viability property”. In a separate section, this condition is translated to a class of partial differential equations.