Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations

DOI10.1016/J.SPA.2006.03.001zbMATH Open1147.35327OpenAlexW1996120958MaRDI QIDQ2507598FDOQ2507598

Authors: Modeste N'Zi, Agnès Sulem, Youssef Ouknine 

Publication date: 5 October 2006

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.03.001

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zbMATH Keywords

Brownian motionstochastic differential equationsstochastic integralsdistributional derivativeforward backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Smoothness and regularity of solutions to PDEs (35B65) Initial value problems for second-order parabolic equations (35K15) Nonlinear parabolic equations (35K55) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (12)

• Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions
• Existence and uniqueness of multidimensional BSDEs and of systems of degenerate PDEs with superlinear growth generator
• Probabilistic representation of solutions for quasi-linear parabolic PDE via FBSDE with reflecting boundary conditions
• Stochastic representation of weak solutions of viscous conservation laws: a BSDE approach
• \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application
• Representation theorems for SPDEs via backward doubly SDEs
• Maximum principle for stochastic control of SDEs with measurable drifts
• On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
• When terminal facelift enforces delta constraints
• Differentiability of quadratic BSDEs generated by continuous martingales
• Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients

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