Representation theorems for backward stochastic differential equations
From MaRDI portal
Publication:1872357
DOI10.1214/aoap/1037125868zbMath1017.60067OpenAlexW1975076156MaRDI QIDQ1872357
Publication date: 6 May 2003
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1037125868
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Ordinary differential equations and systems with randomness (34F05)
Related Items
Utility indifference valuation for non-smooth payoffs with an application to power derivatives, An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach, BSDE, path-dependent PDE and nonlinear Feynman-Kac formula, Density analysis of BSDEs, Asymptotic Expansion Approach in Finance, An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations, A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management, Convergence of deep fictitious play for stochastic differential games, Asymptotic expansion for forward-backward SDEs with jumps, Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing, On the homotopy analysis method for backward/forward-backward stochastic differential equations, Functional Itô calculus, path-dependence and the computation of Greeks, Error expansion for the discretization of backward stochastic differential equations, Pollution Regulation for Electricity Generators in a Transmission Network, A backward SDE method for uncertainty quantification in deep learning, Forward-backward systems for expected utility maximization, Strong stability preserving multistep schemes for forward backward stochastic differential equations, Numerical approximation of BSDEs using local polynomial drivers and branching processes, Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures, Numerical methods for backward stochastic differential equations: a survey, Going forward \& backward with Jin Ma, Forward-backward stochastic differential equations: initiation, development and beyond, Differentiability of quadratic BSDEs generated by continuous martingales, Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition, Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems, Backward stochastic viability and related properties on \(Z\) for BSDEs with applications, Second order discretization of backward SDEs and simulation with the cubature method, A numerical scheme for BSDEs, Approximation scheme for solutions of backward stochastic differential equations via the representation theorem, Density analysis of non-Markovian BSDEs and applications to biology and finance, Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations, A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions, Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions, Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions, Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients, Representations and regularities for solutions to BSDEs with reflections, Generalized stochastic differential utility and preference for information, Probabilistic methods for semilinear partial differential equations. Applications to finance, Densities of one-dimensional backward SDEs, Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs, \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions, Ergodic BSDEs and related PDEs with Neumann boundary conditions under weak dissipative assumptions, Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation, Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers, Random walk approximation of BSDEs with Hölder continuous terminal condition, Backward stochastic Volterra integral equations -- representation of adapted solutions, Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations, Unnamed Item, Short-time asymptotic expansions of semilinear evolution equations, Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression, Donsker-type theorem for BSDEs: rate of convergence, BSDEs with jumps and path-dependent parabolic integro-differential equations, Weak solutions for forward-backward SDEs-a martingale problem approach, Global controllability for quasilinear nonnegative definite system of ODEs and SDEs, Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations, Numerical approximation of general Lipschitz BSDEs with branching processes, Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis, On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations, Cubature Methods and Applications, Parabolic Schemes for Quasi-Linear Parabolic and Hyperbolic PDEs via Stochastic Calculus, Mean square rate of convergence for random walk approximation of forward-backward SDEs, Representation of solutions to BSDEs associated with a degenerate FSDE, When terminal facelift enforces delta constraints, A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations, On nonlinear Feynman–Kac formulas for viscosity solutions of semilinear parabolic partial differential equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- Potential kernels associated with a filtration and forward-backward SDEs
- Forward-backward stochastic differential equations and their applications
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Backward stochastic differential equations: The locally Lipschitz case
- Backward stochastic differential equations with continuous coefficient
- Forward-backward stochastic differential equations with nonsmooth coefficients.
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Backward Stochastic Differential Equations in Finance
- Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
