Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples

DOI10.1007/S10959-021-01092-7zbMath1484.60060arXiv1704.03650OpenAlexW3163116963WikidataQ115382015 ScholiaQ115382015MaRDI QIDQ2042031

Francesco Russo, Adrien Barrasso

Publication date: 26 July 2021

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.03650

zbMATH Keywords

Markov processbackward stochastic differential equationmartingale problempseudo-PDEdecoupled mild solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Pseudodifferential operators as generalizations of partial differential operators (35S05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Transition functions, generators and resolvents (60J35)

Related Items (2)

A Feynman-Kac result via Markov BSDEs with generalised drivers ⋮ Path-dependent martingale problems and additive functionals

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