标题：Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
作者机构：[Nie, T.Y] School of Mathematics, Shandong University, Jinan, 250100, China, School of Mathematics and Statistics, University of Sydney, Sydney, NSW 更多
通讯作者地址：[Nie, TY]Shandong Univ, Sch Math, Jinan 250100, Peoples R China.
关键词：backward stochastic differential equations;variational inequalities;subdifferential operators;viscosity solutions
摘要：We study the existence and uniqueness of the solution to a forward-backward stochastic differential equation with subdifferential operator in the backward equation. This kind of equations includes, as a particular case, multi-dimensional forward-backward stochastic differential equation where the backward equation is reflected on the boundary of a closed convex (time-independent) domain. Moreover, we give a probabilistic interpretation for the viscosity solution of a kind of quasilinear variational inequalities.