FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity

DOI10.1016/J.SPA.2011.05.002zbMath1255.60090arXiv1008.1149OpenAlexW2168701081MaRDI QIDQ554465

Gonçalo dos Reis, Jianing Zhang, Anthony Réveillac

Publication date: 4 August 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.1149

zbMATH Keywords

differentiabilitydelayMalliavin calculuscalculus of variationsbackward stochastic differential equationBSDEs\(L^{p}\)-solutionspath regularitytime delayed generators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Sample path properties (60G17) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (10)

BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences ⋮ Multivalued backward stochastic differential equations with time delayed generators ⋮ Reflected backward stochastic differential equations with time delayed generators ⋮ Reflected and doubly reflected backward stochastic differential equations with time-delayed generators ⋮ Reflected backward stochastic differential equations with time-delayed generators ⋮ Reflected BSDEs with time-delayed generators and nonlinear resistance ⋮ Reflected BSDE’s with discontinuous barrier and time delayed generators ⋮ Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs ⋮ Fully coupled forward–backward stochastic dynamics and functional differential systems ⋮ Forward-backward stochastic equations: a functional fixed point approach

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