Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations

DOI10.1016/j.jfa.2012.07.015zbMath1262.35064MaRDI QIDQ1762334

François Delarue, Dan Crisan

Publication date: 23 November 2012

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfa.2012.07.015

zbMATH Keywords

Malliavin calculus; backward stochastic differential equations; probabilistic methods; UFG condition

Mathematics Subject Classification ID

35B65: Smoothness and regularity of solutions to PDEs

35B45: A priori estimates in context of PDEs

60H07: Stochastic calculus of variations and the Malliavin calculus

35R60: PDEs with randomness, stochastic partial differential equations

Related Items

Cubature method to solve BSDEs: Error expansion and complexity control, Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing, Numerical Stability Analysis of the Euler Scheme for BSDEs, Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression, Uniform in time estimates for the weak error of the Euler method for SDEs and a pathwise approach to derivative estimates for diffusion semigroups, Numerical methods for backward stochastic differential equations: a survey, Singular FBSDEs and scalar conservation laws driven by diffusion processes, Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition, Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction, An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach, A Bismut-Elworthy formula for quadratic BSDEs, Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes, Random walk approximation of BSDEs with Hölder continuous terminal condition, Restoring uniqueness to mean-field games by randomizing the equilibria, A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations, A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights, Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions, Cubature Methods and Applications, On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Continuous exponential martingales and BMO
• Zufällige Bewegungen. (Zur Theorie der Brownschen Bewegung.)
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• A new simulation scheme of diffusion processes: Application of the Kusuoka approximation to finance problems.
• BSDE with quadratic growth and unbounded terminal value
• Classical and variational differentiability of BSDEs with quadratic growth
• Utility maximization in incomplete markets
• \(L^p\) solutions of backward stochastic differential equations.
• Pricing Via Utility Maximization and Entropy
• Cubature on Wiener space
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
• Probabilistic methods for semilinear partial differential equations. Applications to finance