Explicit solutions for a class of nonlinear BSDEs and their nodal sets

DOI10.3934/PUQR.2022017MaRDI QIDQ2096192zbMATH OpenOpenAlexFDO

Authors Shuhui Liu, Zhongmin Qian, Xingcheng Xu, Zengjing Chen

Publication date 16 November 2022

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/puqr.2022017

zbMATH Keywords

explicit solutionFeynman-Kac formulaGirsanov's formulanodal setnonlinear BSDEparabolic equationTanaka's formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(3)

• Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional
• A theoretical model for a vane with stochastic rotation
• The sign and the co-monotonicity of Z for a class of decoupled FBSDEs: theory and applications

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