Semi-linear degenerate backward stochastic partial differential equations and associated forward-backward stochastic differential equations

DOI10.1016/J.SPA.2013.01.005MaRDI QIDQ1947596zbMATH OpenOpenAlexFDO

Authors Kai Du, Qi Zhang

Publication date 22 April 2013

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

Full work available at URL https://arxiv.org/abs/1109.0672

zbMATH Keywords

backward stochastic partial differential equationsFeynman-Kac formulaforward-backward stochastic differential equationssemi-linear degenerate equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper, we consider the Cauchy problem of semi-linear degenerate backward stochastic partial differential equations (BSPDEs in short) under general settings without technical assumptions on the coefficients. For the solution of semi-linear degenerate BSPDE, we first give a proof for its existence and uniqueness, as well as regularity. Then the connection between semi-linear degenerate BSPDEs and forward backward stochastic differential equations (FBSDEs in short) is established, which can be regarded as an extension of Feynman-Kac formula to non-Markov frame.

Recommendations

• On semi-linear degenerate backward stochastic partial differential equations
• On linear, degenerate backward stochastic partial differential equations
• \(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space
• Adapted solution of a degenerate backward SPDE, with applications
• On non-Markovian forward-backward SDEs and backward stochastic PDEs

Cited in

(16)

• Forward-backward stochastic differential equations: initiation, development and beyond
• First order BSPDEs in higher dimension for optimal control problems
• Semi-linear systems of backward stochastic partial differential equations in \(\mathbb{R}^n\)
• On semi-linear degenerate backward stochastic partial differential equations
• The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
• \(L^p\)-theory of forward-backward stochastic differential equations
• Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations
• Semimartingale backward equations with convex generator
• A constrained control problem with degenerate coefficients and degenerate backward SPDEs with singular terminal condition
• Reflected backward stochastic partial differential equations in a convex domain
• Backward stochastic partial differential equations with quadratic growth
• A first-order BSPDE for swing option pricing
• The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth
• The link between stochastic differential equations with non-Markovian coefficients and backward stochastic partial differential equations
• Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach
• A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions

This page was built for publication: Semi-linear degenerate backward stochastic partial differential equations and associated forward-backward stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1947596)