Forward backward SDEs in weak formulation
DOI10.3934/mcrf.2018044zbMath1419.60041arXiv1712.08982OpenAlexW2963606286MaRDI QIDQ2001569
Publication date: 3 July 2019
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.08982
weak solutionviscosity solutionweak formulationstochastic maximum principlemartingale problempath dependent PDEsdynamic programming principlequasilinear PDEsstrong formulationforward backward SDEs
Applications of stochastic analysis (to PDEs, etc.) (60H30) Ordinary differential equations and systems with randomness (34F05) Stochastic calculus of variations and the Malliavin calculus (60H07) PDEs with randomness, stochastic partial differential equations (35R60)
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