Abstract.
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.
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Received: 23 April 1998 / Published online: 14 February 2000
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Buckdahn, R., Quincampoix, M. & Răşcanu, A. Viability property for a backward stochastic differential equation and applications to partial differential equations. Probab Theory Relat Fields 116, 485–504 (2000). https://doi.org/10.1007/s004400050260
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DOI: https://doi.org/10.1007/s004400050260