Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
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The authors establish a stochastic Taylor formula in small time for a nonlinear stochastic heat equation submitted to a leading finite-dimensional Brownian motion. They use tools of viscosity solution of nonlinear PDE.
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Cites work
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- Fully nonlinear stochastic partial differential equations: non-smooth equations and applications
- Higher-order implicit strong numerical schemes for stochastic differential equations
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 3491650 (Why is no real title available?)
- Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
- Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
- User’s guide to viscosity solutions of second order partial differential equations
Cited in
(19)- A relative compactness criterion in Wiener-Sobolev spaces and application to semi-linear stochastic PDEs
- Singular optimal controls for stochastic recursive systems under convex control constraint
- Necessary condition for optimal control of doubly stochastic systems
- Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions
- Pathwise Taylor expansions for random fields on multiple dimensional paths
- Weak solutions for a stochastic mean curvature flow of two-dimensional graphs
- Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
- Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
- Mass-conserving stochastic partial differential equations and backward doubly stochastic differential equations
- Infinite horizon backward doubly stochastic differential equations with non-degenerate terminal functions and their stationary property
- Backward doubly SDEs and SPDEs with superlinear growth generators
- Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process
- Pathwise Taylor expansions for Itô random fields
- A mild Itô formula for SPDEs
- On the splitting-up method for rough (partial) differential equations
- Stochastic viscosity solutions for stochastic integral-partial differential equations
- A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
- Probabilistic representation of the parabolic stochastic variational inequality with Dirichlet–Neumann boundary and variational generalized backward doubly stochastic differential equations
- Taylor expansions of solutions of stochastic partial differential equations with additive noise
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