On linear, degenerate backward stochastic partial differential equations
From MaRDI portal
Publication:1283995
DOI10.1007/s004400050205zbMath0922.60053OpenAlexW2135212109MaRDI QIDQ1283995
Publication date: 30 March 1999
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s004400050205
Optimal stochastic control (93E20) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
Related Items (38)
Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations ⋮ On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces ⋮ Some Results on Nonlinear Backward Stochastic Evolution Equations ⋮ Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach ⋮ Non-Linear Time-Advanced Backward Stochastic Partial Differential Equations With Jumps ⋮ A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\) ⋮ On degenerate backward SPDEs in bounded domains under non-local conditions ⋮ Dissipative backward stochastic differential equations with locally Lipschitz nonlinearity ⋮ On backward stochastic evolution equations in Hilbert spaces and optimal control ⋮ Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains ⋮ First Order BSPDEs in Higher Dimension for Optimal Control Problems ⋮ Solvability of forward-backward stochastic partial differential equations ⋮ SPDEs with space interactions and application to population modelling ⋮ Optimal position targeting via decoupling fields ⋮ Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise ⋮ Singular control of SPDEs with space-mean dynamics ⋮ Forward-backward stochastic differential equations: initiation, development and beyond ⋮ On path-dependent multidimensional forward-backward SDEs ⋮ Stochastic optimal control for backward stochastic partial differential systems ⋮ Stochastic Navier-Stokes equations with artificial compressibility in random durations ⋮ Unnamed Item ⋮ Stochastic Burgers PDEs with random coefficients and a generalization of the Cole-Hopf transformation ⋮ Representation of functionals of Ito processes and their first exit times ⋮ On a class of forward-backward stochastic differential systems in infinite dimensions ⋮ Backward stochastic partial differential equations with quadratic growth ⋮ A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING ⋮ On non-Markovian forward-backward SDEs and backward stochastic PDEs ⋮ Approximate controllability for linear stochastic differential equations in infinite dimensions ⋮ On solutions to backward stochastic partial differential equations for Lévy processes ⋮ Controlled reflected SDEs and Neumann problem for backward SPDEs ⋮ Existence and uniqueness of solutions to the backward 2D stochastic Navier-Stokes equations ⋮ Backward stochastic variational inequalities ⋮ Pathwise Taylor expansions for random fields on multiple dimensional paths ⋮ Degenerate backward SPDEs in bounded domains and applications to barrier options ⋮ On the Cauchy-Dirichlet problem in a half space for backward SPDEs in weighted Hölder spaces ⋮ On well-posedness of forward-backward SDEs -- a unified approach ⋮ Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process ⋮ Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
This page was built for publication: On linear, degenerate backward stochastic partial differential equations
