Stationary backward stochastic differential equations and associated partial differential equations
From MaRDI portal
Publication:1960925
DOI10.1007/s004400050242zbMath0948.60060OpenAlexW1989327274MaRDI QIDQ1960925
Publication date: 19 November 2000
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s004400050242
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (12)
Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces. ⋮ Infinite horizon backward doubly stochastic differential equations with non-degenerate terminal functions and their stationary property ⋮ Existence and Uniqueness of Multidimensional BSDEs and of Systems of Degenerate PDEs with Superlinear Growth Generator ⋮ Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions ⋮ Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels ⋮ Reflected backward stochastic differential equations associated to jump Markov processes and application to partial differential equations ⋮ Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators ⋮ Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients ⋮ Well-posedness of semilinear stochastic wave equations with Hölder continuous coefficients ⋮ Ergodic optimal quadratic control for an affine equation with stochastic and stationary coefficients ⋮ Infinite horizon BSDEs with dissipative coefficients in Hilbert spaces and applications ⋮ Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
This page was built for publication: Stationary backward stochastic differential equations and associated partial differential equations
