Multi-dimensional BSDEs driven by <i>G</i>-Brownian motion and related system of fully nonlinear PDEs (Q5086509): Difference between revisions

Latest revision as of 14:11, 29 July 2024

scientific article; zbMATH DE number 7553680

Language	Label	Description	Also known as
English	Multi-dimensional BSDEs driven by <i>G</i>-Brownian motion and related system of fully nonlinear PDEs	scientific article; zbMATH DE number 7553680

Statements

instance of

scholarly article

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title

Multi-dimensional BSDEs driven by <i>G</i>-Brownian motion and related system of fully nonlinear PDEs (English)

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zbMATH Open document ID

1490.60170

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DOI

10.1080/17442508.2019.1650042

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5 July 2022

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full work available at URL

https://arxiv.org/abs/1811.07773

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Mathematics Subject Classification ID

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\(G\)-expectation

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\(G\)-Brownian motion

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multi-dimensional BSDEs

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fully nonlinear PDEs

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Wikidata QID

Q114098095

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MaRDI profile type

MaRDI publication profile

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Backward stochastic differential equations and integral-partial differential equations

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Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations

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Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations

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Filtration-consistent nonlinear expectations and related \(g\)-expectations

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Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths

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Backward Stochastic Differential Equations in Finance

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On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion

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Ergodic BSDEs driven by G-Brownian motion and applications

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Backward stochastic differential equations driven by \(G\)-Brownian motion

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Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion

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Quasi-continuous random variables and processes under the \(G\)-expectation framework

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Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion

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Adapted solution of a backward stochastic differential equation

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Q4029028

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Probabilistic interpretation of a system of semilinear parabolic partial differential equations

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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Backward stochastic differential equations and applications to optimal control

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Q5436616

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Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation

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Wellposedness of second order backward SDEs

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Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition

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Properties of \(G\)-martingales with finite variation and the application to \(G\)-Sobolev spaces

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Sitelinks

Mathematics(1 entry)

mardi Publication:5086509

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@@ Property / OpenAlex ID: W2967033085 / rank @@
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@@ Property / arXiv ID @@
+.07773
@@ Property / arXiv ID: 1811.07773 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
+Normal rank
@@ Property / cites work @@
+Filtration-consistent nonlinear expectations and related \(g\)-expectations
+Normal rank
@@ Property / cites work @@
+Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
+Normal rank
@@ Property / cites work @@
+Ergodic BSDEs driven by G-Brownian motion and applications
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations driven by \(G\)-Brownian motion
+Normal rank
@@ Property / cites work @@
+Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
+Normal rank
@@ Property / cites work @@
+Quasi-continuous random variables and processes under the \(G\)-expectation framework
+Normal rank
@@ Property / cites work @@
+Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation of a system of semilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and applications to optimal control
+Normal rank
@@ Property / cites work @@
+Q5436616
@@ Property / cites work: Q5436616 / rank @@
+Normal rank
@@ Property / cites work @@
+Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
+Normal rank
@@ Property / cites work @@
+Wellposedness of second order backward SDEs
@@ Property / cites work: Wellposedness of second order backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
+Normal rank
@@ Property / cites work @@
+Properties of \(G\)-martingales with finite variation and the application to \(G\)-Sobolev spaces
+Normal rank