Backward stochastic differential equations with rough drivers (Q439882): Difference between revisions
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Property / author | |||
Property / author: Joscha Diehl / rank | |||
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Property / author: Peter K. Friz / rank | |||
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The authors study backward stochastic differential equations (BSDEs) of the form \[ Y_t = \xi + \int_t^T f(r,Y_r,Z_r) \, dr + \int_t^T H(X_r,Y_r) \, d \zeta(r) - \int_t^T Z_r \,d W_r, \quad t \leq T, \] where \(X\) is an \(\mathbb{R}^n\)-valued semimartingale of the form \[ X_t = x + \int_0^t \sigma_r \, d W_r + \int_0^t b_r \, dr, \] by rough path methods. The driver \(\zeta\) is a general geometric rough path, and the solution \((Y,Z)\) is defined as an appropriate limit of solutions \((Y^n,Z^n)\), \(n \in \mathbb{N}\), where \((\zeta^n)\), \(n \in \mathbb{N}\), is a sequence of smooth paths with \(\zeta^n \rightarrow \zeta\) in \(p\)-variation. Moreover, the authors treat the case of Markovian BSDEs with rough drivers and establish the connection to backward doubly stochastic differential equations. | |||
Property / review text: The authors study backward stochastic differential equations (BSDEs) of the form \[ Y_t = \xi + \int_t^T f(r,Y_r,Z_r) \, dr + \int_t^T H(X_r,Y_r) \, d \zeta(r) - \int_t^T Z_r \,d W_r, \quad t \leq T, \] where \(X\) is an \(\mathbb{R}^n\)-valued semimartingale of the form \[ X_t = x + \int_0^t \sigma_r \, d W_r + \int_0^t b_r \, dr, \] by rough path methods. The driver \(\zeta\) is a general geometric rough path, and the solution \((Y,Z)\) is defined as an appropriate limit of solutions \((Y^n,Z^n)\), \(n \in \mathbb{N}\), where \((\zeta^n)\), \(n \in \mathbb{N}\), is a sequence of smooth paths with \(\zeta^n \rightarrow \zeta\) in \(p\)-variation. Moreover, the authors treat the case of Markovian BSDEs with rough drivers and establish the connection to backward doubly stochastic differential equations. / rank | |||
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Property / reviewed by: Stefan Tappe / rank | |||
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Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H15 / 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: 6067454 / rank | |||
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Property / zbMATH Keywords | |||
backward stochastic differential equations | |||
Property / zbMATH Keywords: backward stochastic differential equations / rank | |||
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rough path analysis | |||
Property / zbMATH Keywords: rough path analysis / rank | |||
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backward doubly stochastic differential equations | |||
Property / zbMATH Keywords: backward doubly stochastic differential equations / rank | |||
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stochastic partial differential equations | |||
Property / zbMATH Keywords: stochastic partial differential equations / rank | |||
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Revision as of 01:49, 30 June 2023
scientific article
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English | Backward stochastic differential equations with rough drivers |
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Backward stochastic differential equations with rough drivers (English)
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17 August 2012
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The authors study backward stochastic differential equations (BSDEs) of the form \[ Y_t = \xi + \int_t^T f(r,Y_r,Z_r) \, dr + \int_t^T H(X_r,Y_r) \, d \zeta(r) - \int_t^T Z_r \,d W_r, \quad t \leq T, \] where \(X\) is an \(\mathbb{R}^n\)-valued semimartingale of the form \[ X_t = x + \int_0^t \sigma_r \, d W_r + \int_0^t b_r \, dr, \] by rough path methods. The driver \(\zeta\) is a general geometric rough path, and the solution \((Y,Z)\) is defined as an appropriate limit of solutions \((Y^n,Z^n)\), \(n \in \mathbb{N}\), where \((\zeta^n)\), \(n \in \mathbb{N}\), is a sequence of smooth paths with \(\zeta^n \rightarrow \zeta\) in \(p\)-variation. Moreover, the authors treat the case of Markovian BSDEs with rough drivers and establish the connection to backward doubly stochastic differential equations.
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backward stochastic differential equations
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rough path analysis
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backward doubly stochastic differential equations
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stochastic partial differential equations
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