Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems (Q5013561): Difference between revisions

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scientific article; zbMATH DE number 7436454

Language	Label	Description	Also known as
English	Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems	scientific article; zbMATH DE number 7436454

Statements

instance of

scholarly article

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title

Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems (English)

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SIAM Journal on Control and Optimization

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publication date

1 December 2021

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full work available at URL

https://arxiv.org/abs/1906.04430

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Mathematics Subject Classification ID

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semigroup envelope

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fully nonlinear PDE

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viscosity solution

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Feller process

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model uncertainty

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nonlinear expectation

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MaRDI profile type

MaRDI publication profile

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cites work

Pricing and hedging derivative securities in markets with uncertain volatilities

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Q3924556

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Q4746091

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Generalized Mehler semigroups and applications

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Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

0 references

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

0 references

Kolmogorov-type and general extension results for nonlinear expectations

0 references

A semigroup approach to nonlinear Lévy processes

0 references

Backward Stochastic Differential Equations in Finance

0 references

One-Parameter Semigroups for Linear Evolution Equations

0 references

Stochastic Optimal Control in Infinite Dimension

0 references

Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula

0 references

Generalized Mehler semigroups: The non-Gaussian case

0 references

\(G\)-Lévy processes under sublinear expectations

0 references

A Short Introduction to Viscosity Solutions and the Large Time Behavior of Solutions of Hamilton–Jacobi Equations

0 references

Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs

0 references

Second-order BSDEs with jumps: formulation and uniqueness

0 references

Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes

0 references

Q3816765

0 references

Uniform convergence of operators on \(L^{\infty}\) and similar spaces

0 references

Nonlinear Lévy processes and their characteristics

0 references

On a non-linear semi-group attached to stochastic optimal control

0 references

Q4029028

0 references

Adapted solution of a backward stochastic differential equation

0 references

Semigroups of linear operators and applications to partial differential equations

0 references

Q5436616

0 references

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

0 references

Martingale representation theorem for the \(G\)-expectation

0 references

Wellposedness of second order backward SDEs

0 references

Uniqueness for integro-PDE in Hilbert spaces

0 references

Integro-PDE in Hilbert spaces: existence of viscosity solutions

0 references

Financial markets with volatility uncertainty

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5013561

@@ Property / cites work @@
+Pricing and hedging derivative securities in markets with uncertain volatilities
+Normal rank
@@ Property / cites work @@
+Q3924556
@@ Property / cites work: Q3924556 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4746091
@@ Property / cites work: Q4746091 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized Mehler semigroups and applications
@@ Property / cites work: Generalized Mehler semigroups and applications / rank @@
+Normal rank
@@ Property / cites work @@
+Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
+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 @@
+Kolmogorov-type and general extension results for nonlinear expectations
+Normal rank
@@ Property / cites work @@
+A semigroup approach to nonlinear Lévy processes
@@ Property / cites work: A semigroup approach to nonlinear Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+One-Parameter Semigroups for Linear Evolution Equations
+Normal rank
@@ Property / cites work @@
+Stochastic Optimal Control in Infinite Dimension
@@ Property / cites work: Stochastic Optimal Control in Infinite Dimension / rank @@
+Normal rank
@@ Property / cites work @@
+Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
+Normal rank
@@ Property / cites work @@
+Generalized Mehler semigroups: The non-Gaussian case
+Normal rank
@@ Property / cites work @@
+\(G\)-Lévy processes under sublinear expectations
+Normal rank
@@ Property / cites work @@
+A Short Introduction to Viscosity Solutions and the Large Time Behavior of Solutions of Hamilton–Jacobi Equations
+Normal rank
@@ Property / cites work @@
+Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs
+Normal rank
@@ Property / cites work @@
+Second-order BSDEs with jumps: formulation and uniqueness
+Normal rank
@@ Property / cites work @@
+Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes
+Normal rank
@@ Property / cites work @@
+Q3816765
@@ Property / cites work: Q3816765 / rank @@
+Normal rank
@@ Property / cites work @@
+Uniform convergence of operators on \(L^{\infty}\) and similar spaces
+Normal rank
@@ Property / cites work @@
+Nonlinear Lévy processes and their characteristics
+Normal rank
@@ Property / cites work @@
+On a non-linear semi-group attached to stochastic optimal control
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Semigroups of linear operators and applications to partial differential equations
+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 @@
+Martingale representation theorem for the \(G\)-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 @@
+Uniqueness for integro-PDE in Hilbert spaces
@@ Property / cites work: Uniqueness for integro-PDE in Hilbert spaces / rank @@
+Normal rank
@@ Property / cites work @@
+Integro-PDE in Hilbert spaces: existence of viscosity solutions
+Normal rank
@@ Property / cites work @@
+Financial markets with volatility uncertainty
@@ Property / cites work: Financial markets with volatility uncertainty / rank @@
+Normal rank