BSDEs with terminal conditions that have bounded Malliavin derivative

DOI10.1016/j.jfa.2013.12.004zbMath1294.60087arXiv1211.1089OpenAlexW2000492429MaRDI QIDQ2452450

Patrick Cheridito, Kihun Nam

Publication date: 3 June 2014

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

Full work available at URL: https://arxiv.org/abs/1211.1089

zbMATH Keywords

viscosity solutionDirichlet boundary conditionNeumann boundary conditionbackward stochastic differential equationforward-backward stochastic differential equationMalliavin derivativesemilinear parabolic PDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Semilinear parabolic equations (35K58)

Related Items (27)

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