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

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DOI10.1214/aop/1019160253zbMath1044.60045OpenAlexW1511896630MaRDI QIDQ1872517

Magdalena Kobylanski

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1019160253

zbMATH Keywords

comparison principle backward stochastic differential equations Feynman-Kac formula semilinear partial differential equations viscosity solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)

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