On nonlinear Feynman–Kac formulas for viscosity solutions of semilinear parabolic partial differential equations (Q5021119): Difference between revisions

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scientific article; zbMATH DE number 7455951

Language	Label	Description	Also known as
English	On nonlinear Feynman–Kac formulas for viscosity solutions of semilinear parabolic partial differential equations	scientific article; zbMATH DE number 7455951

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instance of

scholarly article

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title

On nonlinear Feynman–Kac formulas for viscosity solutions of semilinear parabolic partial differential equations (English)

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Stochastics and Dynamics

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publication date

12 January 2022

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full work available at URL

https://arxiv.org/abs/2004.03389

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zbMATH Keywords

Feynman-Kac representation

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stochastic analysis

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viscosity solutions

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MaRDI profile type

MaRDI publication profile

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cites work

Regularity properties for solutions of infinite dimensional Kolmogorov equations in Hilbert spaces

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Backward-forward stochastic differential equations

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Backward stochastic differential equations and integral-partial differential equations

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Discontinuous solutions of deterministic optimal stopping time problems

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On existence and uniqueness properties for solutions of stochastic fixed point equations

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Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations

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Conjugate convex functions in optimal stochastic control

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Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations

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User’s guide to viscosity solutions of second order partial differential equations

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Viscosity Solutions of Hamilton-Jacobi Equations

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Q4544913

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On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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Reflected solutions of backward SDE's, and related obstacle problems for PDE's

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Q3881668

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Q5189317

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Q5653395

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Existence of strong solutions for Itô's stochastic equations via approximations

0 references

Loss of regularity for Kolmogorov equations

0 references

Solution of forward-backward stochastic differential equations

0 references

Forward-backward stochastic differential equations with nonsmooth coefficients.

0 references

Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations

0 references

Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks

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An Introduction to Fully Nonlinear Parabolic Equations

0 references

Q4002114

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Wahrscheinlichkeitstheorie

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Q4716216

0 references

Q3525987

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Lack of strong completeness for stochastic flows

0 references

Stochastic partial differential equations: an introduction

0 references

Solving forward-backward stochastic differential equations explicitly -- a four step scheme

0 references

Representation theorems for backward stochastic differential equations

0 references

Q4379369

0 references

Adapted solution of a backward stochastic differential equation

0 references

Q4029028

0 references

Probabilistic interpretation of a system of semilinear parabolic partial differential equations

0 references

Stochastic differential equations, backward SDEs, partial differential equations

0 references

Forward-backward stochastic differential equations and quasilinear parabolic PDEs

0 references

Nonlinear Expectations and Stochastic Calculus under Uncertainty

0 references

Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

0 references

Extension of C ∞ Functions Defined in a Half Space

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Probabilistic interpretation of a system of quasilinear parabolic PDE<scp>s</scp>

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Identifiers

zbMATH Open document ID

1490.60200

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DOI

10.1142/S0219493721500489

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Regularity properties for solutions of infinite dimensional Kolmogorov equations in Hilbert spaces
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+Backward-forward stochastic differential equations
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@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
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@@ Property / cites work @@
+Discontinuous solutions of deterministic optimal stopping time problems
+Normal rank
@@ Property / cites work @@
+On existence and uniqueness properties for solutions of stochastic fixed point equations
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@@ Property / cites work @@
+Overcoming the curse of dimensionality in the numerical approximation of Allen-Cahn partial differential equations via truncated full-history recursive multilevel Picard approximations
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
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@@ Property / cites work @@
+Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations
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+User’s guide to viscosity solutions of second order partial differential equations
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+Viscosity Solutions of Hamilton-Jacobi Equations
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+Q4544913
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+On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
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+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
+Normal rank
@@ Property / cites work @@
+Q3881668
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+Normal rank
@@ Property / cites work @@
+Q5189317
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+Normal rank
@@ Property / cites work @@
+Q5653395
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+Normal rank
@@ Property / cites work @@
+Existence of strong solutions for Itô's stochastic equations via approximations
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+Loss of regularity for Kolmogorov equations
@@ Property / cites work: Loss of regularity for Kolmogorov equations / rank @@
+Normal rank
@@ Property / cites work @@
+Solution of forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations with nonsmooth coefficients.
+Normal rank
@@ Property / cites work @@
+Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
+Normal rank
@@ Property / cites work @@
+An Introduction to Fully Nonlinear Parabolic Equations
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@@ Property / cites work @@
+Q4002114
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+Normal rank
@@ Property / cites work @@
+Wahrscheinlichkeitstheorie
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+Q3525987
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@@ Property / cites work @@
+Lack of strong completeness for stochastic flows
@@ Property / cites work: Lack of strong completeness for stochastic flows / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic partial differential equations: an introduction
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+Representation theorems for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4379369
@@ Property / cites work: Q4379369 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4029028
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+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation of a system of semilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations, backward SDEs, partial differential equations
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and quasilinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Nonlinear Expectations and Stochastic Calculus under Uncertainty
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Extension of C ∞ Functions Defined in a Half Space
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation of a system of quasilinear parabolic PDE<scp>s</scp>
+Normal rank
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