Viscosity solutions, backward stochastic differential equations and Markov processes

zbMATH Open1242.60057MaRDI QIDQ3172394FDOQ3172394

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Publication date: 5 October 2011

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zbMATH Keywords

Markov processbackward stochastic differential equationviscosity solutionparabolic equations of second order

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic analysis (60H99)

Cited In (5)

• Feynman-Kac formulas, backward stochastic differential equations and Markov processes
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation
• On viscosity solutions of path dependent PDEs
• Representation theorems for backward stochastic differential equations

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