scientific article; zbMATH DE number 140601

zbMATH Open0766.60079MaRDI QIDQ4029028FDOQ4029028

Publication date: 28 March 1993

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On semi-linear degenerate backward stochastic partial differential equations

backward stochastic differential equation diffusion process Feynman-Kac formula Wiener space parabolic partial differential equation generalized Feynman-Kac formula

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)

Cited In (only showing first 100 items - show all)

On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
Title not available (Why is that?)
Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
On a class of backward doubly stochastic differential equations
Simulation of BSDEs with jumps by Wiener chaos expansion
Backward SDEs with superquadratic growth
Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
Weak existence and uniqueness for forward-backward SDEs
\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
Adapted solution of a degenerate backward SPDE, with applications
Forward-backward stochastic differential equations and quasilinear parabolic PDEs
Backward doubly stochastic differential equations and systems of quasilinear SPDEs
Solving forward-backward stochastic differential equations explicitly -- a four step scheme
Reflected solutions of backward SDE's, and related obstacle problems for PDE's
Backward SDEs and infinite horizon stochastic optimal control
A general comparison theorem for 1-dimensional anticipated BSDEs
Infinite horizon backward doubly stochastic differential equations with non-degenerate terminal functions and their stationary property
Functional Itō calculus and stochastic integral representation of martingales
Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations
A numerical scheme for BSDEs
Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
Probabilistic model for the Lotka-Volterra system with cross-diffusion
On non-Markovian forward-backward SDEs and backward stochastic PDEs
Backward doubly stochastic equations with jumps and comparison theorems
On backward stochastic differential equations and strict local martingales
Mean-field backward stochastic differential equations: A limit approach
Path regularity for solutions of backward stochastic differential equations
Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
A Fourier cosine method for an efficient computation of solutions to BSDEs
Backward stochastic differential equations and partial differential equations with quadratic growth.
Numerical method for backward stochastic differential equations
Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
Generalized stochastic differential utility and preference for information
A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations
Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
Numerical stability analysis of the Euler scheme for BSDEs
Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
Backward stochastic differential equations and Dirichlet problems of semilinear elliptic operators with singular coefficients
Forward-backward stochastic equations associated with systems of quasilinear parabolic equations and comparison theorems
Krylov and Safonov estimates for degenerate quasilinear elliptic PDEs
Inter‐temporal mutual‐fund management
\(L^p\) solution of general mean-field BSDEs with continuous coefficients
Multi-dimensional BSDE with oblique reflection and optimal switching
Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
On viscosity solutions of path dependent PDEs
SPDEs with polynomial growth coefficients and the Malliavin calculus method
Runge-Kutta schemes for backward stochastic differential equations
BSDEs with terminal conditions that have bounded Malliavin derivative
Simulation of BSDEs by Wiener chaos expansion
Stationary solutions of SPDEs and infinite horizon BDSDEs
Discrete-time approximation of decoupled Forward-Backward SDE with jumps
When terminal facelift enforces delta constraints
On the comparison theorem for multidimensional BSDEs
Representation theorems for backward stochastic differential equations
Infinite horizon forward-backward stochastic differential equations
BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
Reflected generalized backward doubly SDEs driven by Lévy processes and applications
Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
A class of backward stochastic differential equations with discontinuous coefficients
Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
Backward stochastic differential equations with Markov chains and related asymptotic properties
Reflected backward stochastic differential equation with jumps and RCLL obstacle
On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
Backward stochastic differential equations associated to a symmetric Markov process
\(L^p\) estimates for fully coupled FBSDEs with jumps
Hedging options for a large investor and forward-backward SDE's
BSDEs with jumps, optimization and applications to dynamic risk measures
Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions
Density estimates for solutions to one dimensional backward SDE's
Representation of solutions to BSDEs associated with a degenerate FSDE
Randomized and backward SDE representation for optimal control of non-Markovian SDEs
Reflected backward SDEs with general jumps
Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
Systems of quasilinear parabolic equations in \(\mathbb{R}^n\) and systems of quadratic backward stochastic differential equations
Convergence of BSDEs and homogenization of semilinear variational inequalities in a convex domain
Markov chains under nonlinear expectation
Stochastic recursive optimal control problem of reflected stochastic differential systems
Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems
On approximation of BSDE and multi-step MLE-processes
Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
Homeomorphism of solutions to backward SDEs and applications
Application of homogenization and large deviations to a parabolic semilinear equation
A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
Generalized mean-field backward stochastic differential equations and related partial differential equations
Title not available (Why is that?)
Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations
Wavefront propagation for reaction-diffusion systems and backward SDEs

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