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Q2503164
label / enlabel / en
Backward stochastic differential equations on manifolds
description / endescription / en
scientific article
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Property / instance of: scholarly article / rank
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Property / title
Backward stochastic differential equations on manifolds (English)
 
Property / title: Backward stochastic differential equations on manifolds (English) / rank
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Property / zbMATH Open document ID
 
Property / zbMATH Open document ID: 1085.60037 / rank
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Property / DOI
 
Property / DOI: 10.1007/s00440-004-0400-9 / rank
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Property / author
 
Property / author: Fabrice Blache / rank
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Property / published in
 
Property / published in: Probability Theory and Related Fields / rank
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Property / publication date
8 December 2005
Timestamp+2005-12-08T00:00:00Z
Timezone+00:00
CalendarGregorian
Precision1 day
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After0
 
Property / publication date: 8 December 2005 / rank
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Property / full work available at URL
 
Property / full work available at URL: https://arxiv.org/abs/math/0501265 / rank
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Property / review text
The main problem of the paper is to find a martingale on a manifold with a fixed random terminal value; this can be done by solving a backward SDE with quadratic growth (which means, that classical Lipschitz conditions etc.\ for existence and uniqueness of solutions fail). Let \(M\) be a manifold with connection \(\Gamma\) and a related exponential map \(\exp\). The author considers the following backward stochastic differential equation (in infinitesimal form): \[ X_{t+dt} = \exp_{X_t}(Z_t dW_t + f(B_t^y, X_t, Z_t)dt), \quad X_T = U, \] where \(W_t\) is \(d\)-dimensional Brownian motion. Assuming that \(M\) can be represented by a global chart, this becomes \[ dX_t = Z_t dW_t + (-\tfrac 12 \Gamma_{jk}(X_t)\langle [Z_t]^k , [Z_t]^j\rangle + f(B_t^y, X_t, Z_t)\,dt), \quad X_T =U, \] \([Z_t]^k\) denotes the \(k\)th row of the matrix \(Z_t\). The main result of the paper is the following: Let \(\omega\) be a relatively compact open subset of an open set \(O\subset M\), where \(O\) is such that there is a unique \(O\)-valued geodesic between any two points of \(O\). If \(f\) is outward pointing on the boundary of \(\bar\omega\), if \(U\in\bar\omega = \{\chi\leq c\}\) with a strictly convex \(\chi\) and if \(f\) satisfies some further technical conditions, then (i) the above backward SDE has a unique solution \((Z_t,X_t)_{0\leq t\leq T}\) such that \(X_t\) remains in \(\bar \omega\) if \(f\) does not depend on \(z\); (ii) if \(M\) is a Cartan-Hadamard manifold and if the Levi-Cività connection is being used, then the solution of the backward SDE has a unique solution \((Z_t,X_t)_{0\leq t\leq T}\) with \(X\) in \(\bar\omega\).
 
Property / review text: The main problem of the paper is to find a martingale on a manifold with a fixed random terminal value; this can be done by solving a backward SDE with quadratic growth (which means, that classical Lipschitz conditions etc.\ for existence and uniqueness of solutions fail). Let \(M\) be a manifold with connection \(\Gamma\) and a related exponential map \(\exp\). The author considers the following backward stochastic differential equation (in infinitesimal form): \[ X_{t+dt} = \exp_{X_t}(Z_t dW_t + f(B_t^y, X_t, Z_t)dt), \quad X_T = U, \] where \(W_t\) is \(d\)-dimensional Brownian motion. Assuming that \(M\) can be represented by a global chart, this becomes \[ dX_t = Z_t dW_t + (-\tfrac 12 \Gamma_{jk}(X_t)\langle [Z_t]^k , [Z_t]^j\rangle + f(B_t^y, X_t, Z_t)\,dt), \quad X_T =U, \] \([Z_t]^k\) denotes the \(k\)th row of the matrix \(Z_t\). The main result of the paper is the following: Let \(\omega\) be a relatively compact open subset of an open set \(O\subset M\), where \(O\) is such that there is a unique \(O\)-valued geodesic between any two points of \(O\). If \(f\) is outward pointing on the boundary of \(\bar\omega\), if \(U\in\bar\omega = \{\chi\leq c\}\) with a strictly convex \(\chi\) and if \(f\) satisfies some further technical conditions, then (i) the above backward SDE has a unique solution \((Z_t,X_t)_{0\leq t\leq T}\) such that \(X_t\) remains in \(\bar \omega\) if \(f\) does not depend on \(z\); (ii) if \(M\) is a Cartan-Hadamard manifold and if the Levi-Cività connection is being used, then the solution of the backward SDE has a unique solution \((Z_t,X_t)_{0\leq t\leq T}\) with \(X\) in \(\bar\omega\). / rank
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60H10 / rank
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 58J65 / rank
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60J60 / rank
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60J65 / rank
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Property / zbMATH DE Number
 
Property / zbMATH DE Number: 2236892 / rank
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Property / zbMATH Keywords
martingales
 
Property / zbMATH Keywords: martingales / rank
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Property / zbMATH Keywords
processes on manifolds
 
Property / zbMATH Keywords: processes on manifolds / rank
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Property / zbMATH Keywords
Brownian motion
 
Property / zbMATH Keywords: Brownian motion / rank
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Property / reviewed by
 
Property / reviewed by: Rene L. Schilling / rank
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