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

DOI10.1016/J.SPA.2013.01.005zbMATH Open1263.60057arXiv1109.0672OpenAlexW2032680599MaRDI QIDQ1947596FDOQ1947596

Authors: Kai Du, Qi Zhang 

Publication date: 22 April 2013

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

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.

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

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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)

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• Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations
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• The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
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• Reflected backward stochastic partial differential equations in a convex domain
• A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions

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