A study of backward stochastic differential equation on a Riemannian manifold

DOI10.1214/21-EJP649zbMATH Open1476.58035arXiv2010.02465OpenAlexW3175344511WikidataQ115240776 ScholiaQ115240776MaRDI QIDQ2042810FDOQ2042810

Authors: Xin Chen, Wenjie Ye 

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: Suppose $N$ is a compact Riemannian manifold, in this paper we will introduce the definition of $N$-valued BSDE and $L^2(mathbb{T}^m;N)$-valued BSDE for which the solution are not necessarily staying in only one local coordinate. Moreover, the global existence of a solution to $L^2(mathbb{T}^m;N)$-valued BSDE will be proved without any convexity condition on $N$.

Full work available at URL: https://arxiv.org/abs/2010.02465

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zbMATH Keywords

backward stochastic differential equationRiemannian manifoldsecond fundamental form

Mathematics Subject Classification ID

PDEs on manifolds (35R01) PDEs with randomness, stochastic partial differential equations (35R60) Diffusion processes and stochastic analysis on manifolds (58J65) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (5)

• Integrability of the Backward Diffusion Equation in a Compact Riemannian Space
• On backward stochastic differential equations
• Constructing gamma-martingales with prescribed limit, using backwards SDE
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• Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions

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