BSDE on an infinite horizon and elliptic PDEs in infinite dimension

DOI10.1007/S00030-007-6029-5MaRDI QIDQ2474201zbMATH OpenOpenAlexFDO

Authors Ying Hu, Gianmario Tessitore

Publication date 5 March 2008

Published in NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00030-007-6029-5

zbMATH Keywords

backward stochastic differential equationelliptic PDEsmild solutioninfinite-dimensional stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear elliptic equations (35J60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

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• Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion
• scientific article; zbMATH DE number 1563401 (Why is no real title available?)
• Ergodic BSDEs with multiplicative and degenerate noise
• A class of BSDE with integrable parameters
• Second order backward SDE with random terminal time
• Ergodic BSDEs under weak dissipative assumptions
• On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• A stochastic optimal control problem for the heat equation on the halfline with Dirichlet boundary-noise and boundary-control
• BSDEs on finite and infinite time horizon with discontinuous coefficients
• Infinite horizon BSDEs with dissipative coefficients in Hilbert spaces and applications
• Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.
• Forward-backward SDEs with distributional coefficients
• Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
• Infinite time interval RBSDEs with non-Lipschitz coefficients
• Infinite horizon BSDEs under consistent nonlinear expectations
• Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
• Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation
• Infinite horizon stochastic optimal control for Volterra equations with completely monotone kernels

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