Séminaire_25_octobre

Manal Jakani (Le Mans Université)

Le 25 octobre 2022

Approximation of reflected SDEs in time-dependent domains and applications to Generalized BSDEs and PDEs in time-dependent domains

Abstract. We consider a class of reflected SDEs in time-dependent domains. We provide a strong approximation for this type of equations using a sequence of standard SDEs. The second main result, consists in constructing a strong approximation of some generalized BSDE as well as the associated PDE. This is obtained essentially from the results of the first part.