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

DOI10.1016/j.spa.2006.03.001zbMath1147.35327MaRDI QIDQ2507598

Agnès Sulem, Modeste N'zi, 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

zbMATH Keywords

Brownian motion; stochastic differential equations; stochastic integrals; distributional derivative; forward backward stochastic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35B65: Smoothness and regularity of solutions to PDEs

35K55: Nonlinear parabolic equations

60H30: Applications of stochastic analysis (to PDEs, etc.)

35R60: PDEs with randomness, stochastic partial differential equations

35K15: Initial value problems for second-order parabolic equations

Related Items

Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions, Differentiability of quadratic BSDEs generated by continuous martingales

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Dirichlet forms and analysis on Wiener space
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
• Representation theorems for backward stochastic differential equations
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
• An Introductory Approach to Duality in Optimal Stochastic Control
• Backward Stochastic Differential Equations in Finance
• Weak solutions for SPDE's and backward doubly stochastic differential equations