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

DOI10.1016/J.SPA.2006.03.001MaRDI QIDQ2507598zbMATH OpenOpenAlexFDO

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

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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• scientific article; zbMATH DE number 140601 (Why is no real title available?)
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• A Haussmann-Clark-Ocone formula for functionals of diffusion processes with Lipschitz coefficients
• Adapted solution of a backward stochastic differential equation
• An Introductory Approach to Duality in Optimal Stochastic Control
• Backward Stochastic Differential Equations in Finance
• Dirichlet forms and analysis on Wiener space
• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• Representation theorems for backward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Weak solutions for SPDE's and backward doubly stochastic differential equations
• Zero-sum stochastic differential games and backward equations

Cited in

(12)

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

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