Backward stochastic differential equations associated to a symmetric Markov process
From MaRDI portal
Publication:1777430
DOI10.1007/s11118-003-6457-8zbMath1071.60067OpenAlexW2056932936MaRDI QIDQ1777430
Vlad Bally, Etienne Pardoux, Lucretiu Stoica
Publication date: 13 May 2005
Published in: Potential Analysis (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00072163/file/RR-4425.pdf
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Diffusion processes (60J60) Initial value problems for second-order parabolic systems (35K45)
Related Items
Backward problems for stochastic differential equations on the Sierpinski gasket ⋮ Existence and Uniqueness of Multidimensional BSDEs and of Systems of Degenerate PDEs with Superlinear Growth Generator ⋮ Numerical computation for backward doubly SDEs with random terminal time ⋮ Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition ⋮ Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs ⋮ Nonlinear BSDEs on a general filtration with drivers depending on the martingale part of the solution ⋮ Differentiability of quadratic BSDEs generated by continuous martingales ⋮ The probabilistic solution of a system of semilinear elliptic PDEs under the third boundary conditions ⋮ Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form ⋮ Stochastic partial differential equations with singular terminal condition ⋮ Martingale driven BSDEs, PDEs and other related deterministic problems ⋮ Backward stochastic dynamics on a filtered probability space ⋮ A probabilistic approach to Dirichlet problems of semilinear elliptic PDEs with singular coefficients ⋮ Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples ⋮ A probabilistic interpretation of the divergence and BSDE's. ⋮ \(L^p\) estimates for the uniform norm of solutions of quasilinear SPDE's ⋮ Semi-Dirichlet forms, Feynman-Kac functionals and the Cauchy problem for semilinear parabolic equations
Cites Work
- Adapted solution of a backward stochastic differential equation
- Dirichlet forms and symmetric Markov processes
- \(L^p\) solutions of backward stochastic differential equations.
- Backward Stochastic Differential Equations in Finance
- Weak solutions for SPDE's and backward doubly stochastic differential equations
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
