Reflected forward–backward stochastic differential equations and related PDEs

DOI10.1080/07362994.2016.1195747zbMath1347.60070OpenAlexW2490892539MaRDI QIDQ2821913

Ying Peng, Junbo Liu, Wenqiang Li

Publication date: 26 September 2016

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

Full work available at URL: https://doi.org/10.1080/07362994.2016.1195747

zbMATH Keywords

reflectioncomparison theoremviscosity solutionsforward-backward stochastic differential equationsquasilinear parabolic PDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to PDEs (35D40) Quasilinear parabolic equations (35K59)

Related Items

General coupled mean-field reflected forward-backward stochastic differential equations, A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems

Cites Work

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• L^p-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS