A Bismut-Elworthy formula for quadratic BSDEs (Q2018566)

From MaRDI portal

Revision as of 21:05, 9 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	A Bismut-Elworthy formula for quadratic BSDEs	scientific article

Statements

scholarly article

0 references

A Bismut-Elworthy formula for quadratic BSDEs (English)

0 references

Federica Masiero

0 references

Stochastic Processes and their Applications

0 references

publication date

24 March 2015

0 references

full work available at URL

https://arxiv.org/abs/1404.2098

0 references

zbMATH Keywords

quadratic backward stochastic differential equations

0 references

Bismut-Elworthy formula

0 references

semilinear Kolmogorov equation

0 references

stochastic optimal control problems

0 references

Hamilton-Jacobi-Bellman equations

0 references

MaRDI profile type

MaRDI publication profile

0 references

Set-valued analysis

0 references

Backward SDEs with superquadratic growth

0 references

Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces

0 references

BSDE with quadratic growth and unbounded terminal value

0 references

Quadratic BSDEs with convex generators and unbounded terminal conditions

0 references

Second order PDE's in finite and infinite dimension

0 references

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

0 references

Stochastic Equations in Infinite Dimensions

0 references

0 references

0 references

On a Class of Stochastic Optimal Control Problems Related to BSDEs with Quadratic Growth

0 references

Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control

0 references

The Bismut-Elworthy formula for backward SDE's and applications to nonlinear Kolmogorov equations and control in infinite dimensional spaces

0 references

Regularity of solutions of a second order hamilton-jacobi equation and application to a control problem

0 references

Global regular solutions of second order Hamilton-Jacobi equations in Hilbert spaces with locally Lipschitz nonlinearities

0 references

Backward stochastic differential equations and partial differential equations with quadratic growth.

0 references

Semilinear Kolmogorov equations and applications to stochastic optimal control

0 references

Infinite horizon stochastic optimal control problems with degenerate noise and elliptic equations in Hilbert spaces

0 references

Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian

0 references

HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition

0 references

Adapted solution of a backward stochastic differential equation

0 references

0 references

Numerical simulation of BSDEs with drivers of quadratic growth

0 references

Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition

0 references

Identifiers

zbMATH Open document ID

0 references

10.1016/j.spa.2014.12.003

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2018566

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2018566&oldid=35446961"