Stochastic differential equations, backward SDEs, partial differential equations

DOI10.1007/978-3-319-05714-9zbMath1321.60005OpenAlexW579287291MaRDI QIDQ2442149

Aurel Răşcanu, Etienne Pardoux

Publication date: 31 March 2014

Published in: Stochastic Modelling and Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-05714-9

zbMATH Keywords

stochastic differential equationsDirichlet boundary conditionNeumann boundary conditionbackward stochastic differential equationsFeynman-Kac formulastochastic variational inequalitieselliptic PDEparabolic PDEbackward stochastic variational inequalitiesmulti-valued stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Viscosity solutions to PDEs (35D40)

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