Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I

DOI10.1016/S0304-4149(00)00093-4zbMath1053.60065OpenAlexW2009802270MaRDI QIDQ1888754

Jin Ma, Rainer Buckdahn

Publication date: 26 November 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(00)00093-4

zbMATH Keywords

stochastic partial differential equationsviscosity solutionsbackward doubly stochastic differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs, Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach, Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II., Numerical computation for backward doubly SDEs with random terminal time, Reversible stochastic flows associated with nonlinear SPDEs, Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process, Approximation schemes for viscosity solutions of fully nonlinear stochastic partial differential equations, Backward doubly SDEs and semilinear stochastic PDEs in a convex domain, Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application, A generalized existence theorem of backward doubly stochastic differential equations, \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions, Probabilistic interpretation for solutions of fully nonlinear stochastic pdes, Doubly-stochastic interpretation for nonlocal semi-linear backward stochastic partial differential equations, Backward doubly SDEs and SPDEs with superlinear growth generators, An efficient Monte Carlo scheme for Zakai equations, A numerical scheme for backward doubly stochastic differential equations, Backward doubly stochastic differential equations with infinite time horizon., On approximations for reflected SDEs and SPDEs with Neumann boundary conditions, Stability in mean of partial variables for stochastic reaction diffusion systems, BSDEs generated by fractional space-time noise and related SPDEs, Necessary condition for optimal control of doubly stochastic systems, Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs, A (rough) pathwise approach to a class of non-linear stochastic partial differential equations, MULTIVALUED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS VIA BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS, Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions, Stochastic viscosity solutions for SPDEs with continuous coefficients, Backward stochastic differential equations with rough drivers, Stochastic PDEs and infinite horizon backward doubly stochastic differential equations, Comparison theorems for the multidimensional BDSDEs and applications, Nonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1), Perron’s method for pathwise viscosity solutions, An order approach to SPDEs with antimonotone terms, Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\), Nonlinear Feynman--Kac formulas for Stochastic Partial Differential Equations with Space-Time Noise, Filtering for non-Markovian SDEs involving nonlinear SPDEs and backward parabolic equations, Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions, Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions, Lp solutions of infinite time interval backward doubly stochastic differential equations, Stochastic partial differential equations with singular terminal condition, An approximation result for nonlinear SPDEs with Neumann boundary conditions, Random attractors for stochastic porous media equations perturbed by space-time linear multiplicative noise, Singular optimal controls for stochastic recursive systems under convex control constraint, Backward doubly stochastic differential equations with a superlinear growth generator, Theory and application of stability for stochastic reaction diffusion systems, Empirical Regression Method for Backward Doubly Stochastic Differential Equations, Stochastic motion and the level set method in computer vision: stochastic active contours, Stochastic flows associated with Stratonovich curve-line integrals, Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients, A NOTE ON HOMEOMORPHISM FOR BACKWARD DOUBLY SDEs AND APPLICATIONS, L2-regularity result for solutions of backward doubly stochastic differential equations, STATIONARY STOCHASTIC VISCOSITY SOLUTIONS OF SPDEs, Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions, Stochastic viscosity solutions for stochastic integral-partial differential equations, On a vector-valued generalisation of viscosity solutions for general PDE systems, Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group
• Stochastic calculus with anticipating integrands
• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• On the gap between deterministic and stochastic ordinary differential equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
• Viscosity Solutions of Hamilton-Jacobi Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Fully nonlinear stochastic partial differential equations
• Fully nonlinear stochastic partial differential equations: non-smooth equations and applications
• Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique