A study of backward stochastic differential equation on a Riemannian manifold

DOI10.1214/21-EJP649MaRDI QIDQ2042810zbMATH OpenOpenAlexWikidataFDO

Authors Xin Chen, Wenjie Ye

Publication date 21 July 2021

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

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

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)

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 $N$.

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Cited in

(5)

• Integrability of the Backward Diffusion Equation in a Compact Riemannian Space
• On backward stochastic differential equations
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• scientific article; zbMATH DE number 1619464 (Why is no real title available?)
• Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions

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