Limit theorems for BSDE with local time applications to non-linear PDE

DOI10.1080/10451120212870MaRDI QIDQ3148778zbMATH OpenOpenAlexFDO

Authors M'hamed Eddahbi, Youssef Ouknine

Publication date 2 June 2003

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10451120212870

zbMATH Keywords

backward stochastic differential equationcomparison theoremlocal timesingular partial differential equations

Mathematics Subject Classification ID

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

Recommendations

• Backward SDEs and Cauchy problem for semilinear equations in divergence form
• On backward stochastic differential equations and strict local martingales
• Backward stochastic dynamics on a filtered probability space
• Backward stochastic differential equations with a convex generator
• Approximate solvability of forward-backward stochastic differential equations
• scientific article; zbMATH DE number 1066312
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
• Anticipated backward stochastic differential equations
• W-symmetries of backward stochastic differential equations, preservation of simple symmetries and Kozlov's theory
• A class of globally solvable Markovian quadratic BSDE systems and applications

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Backward equations, stochastic control and zero-sum stochastic differential games
• Backward stochastic differential equation with local time
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Backward stochastic differential equations with continuous coefficient
• Backward-forward SDE's and stochastic differential games
• Constructing gamma-martingales with prescribed limit, using backwards SDE
• Existence for BSDE with superlinear–quadratic coefficient
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
• Stochastic differential equations with singular drift
• Zero-sum stochastic differential games and backward equations

Cited in

(8)

• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• Quadratic BSDEs with jumps and related PIDEs
• Solvability of some quadratic BSDEs without exponential moments
• On a generalized BSDE involving local time and application to a PDE with nonlinear boundary condition
• Correction on a generalized BSDE involving local time and application to a PDE with nonlinear boundary condition
• Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
• Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
• Richter's local limit theorem and Black-Scholes type formulas

This page was built for publication: Limit theorems for BSDE with local time applications to non-linear PDE

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3148778)