The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth

DOI10.1186/S41546-019-0037-3MaRDI QIDQ2296124zbMATH OpenOpenAlexWikidataFDO

Authors Renzhi Qiu, Shanjian Tang

Publication date 17 February 2020

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s41546-019-0037-3

zbMATH Keywords

backward stochastic differential equationweak solutionquadratic growthsuper-parabolicItô's formula

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Recommendations

• Solvability of backward stochastic differential equations with quadratic growth
• Backward stochastic partial differential equations with quadratic growth
• Backward SDEs with superquadratic growth
• Backward doubly stochastic differential equations with a superlinear growth generator
• A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\)
• scientific article; zbMATH DE number 140601
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space
• Large deviations for backward stochastic equations with quadratic growth

Cites work

• scientific article; zbMATH DE number 3362340 (Why is no real title available?)
• A financial market with interacting investors: does an equilibrium exist?
• Adapted solution of a backward stochastic differential equation
• BSDE with quadratic growth and unbounded terminal value
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Backward stochastic differential equations with continuous coefficient
• Backward stochastic partial differential equations with quadratic growth
• Conjugate convex functions in optimal stochastic control
• Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
• General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• Maximum principle for quasi-linear backward stochastic partial differential equations
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Semi-linear degenerate backward stochastic partial differential equations and associated forward-backward stochastic differential equations
• Solvability of backward stochastic differential equations with quadratic growth
• Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains
• \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space

Cited in

(2)

• \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space
• Backward stochastic partial differential equations with quadratic growth

This page was built for publication: The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2296124)