Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs

DOI10.1016/J.JMAA.2019.123791MaRDI QIDQ2302933zbMATH OpenOpenAlexWikidataFDO

Authors Huaizhong Zhao, Yufeng Shi

Publication date 26 February 2020

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2019.123791

zbMATH Keywords

elliptic PDEsFeynman-Kac formulaforward-backward stochastic differential equationsPoisson equationsprobabilistic interpretations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

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Cited in

(19)

• Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Infinite horizon forward-backward stochastic differential equations
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs
• A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations
• FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays
• A class of quadratic forward-backward stochastic differential equations
• Infinite dimensional forward-backward stochastic differential equations and the KPZ equation
• Infinite horizon forward-backward SDEs and open-loop optimal controls for stochastic linear-quadratic problems with random coefficients
• Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
• Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
• The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon
• Infinite horizon mean-field linear quadratic optimal control problems with jumps and the related Hamiltonian systems
• Stochastic maximum principle for optimal continuous and impulse controls of infinite horizon delay system
• Well-posedness of infinite horizon FBSDEs with non-zero terminals and LQ problems with random coefficients
• On discounted infinite-time mean field games
• Forward-backward stochastic equations associated with systems of quasilinear parabolic equations and comparison theorems
• On solutions of a class of infinite horizon FBSDEs

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