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

DOI10.1080/10451120212870zbMATH Open1011.60043OpenAlexW2090133666MaRDI QIDQ3148778FDOQ3148778

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

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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)

Cites Work

• Backward-forward SDE's and stochastic differential games
• Backward stochastic differential equations and partial differential equations with quadratic growth.
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• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with continuous coefficient
• Existence for BSDE with superlinear–quadratic coefficient
• Constructing gamma-martingales with prescribed limit, using backwards SDE
• Backward equations, stochastic control and zero-sum stochastic differential games
• Zero-sum stochastic differential games and backward equations
• Stochastic differential equations with singular drift
• Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
• Backward stochastic differential equation with local time

Cited In (8)

• Quadratic BSDEs with jumps and related PIDEs
• Existence and uniqueness results for BSDE with jumps: the whole nine yards
• 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

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