scientific article; zbMATH DE number 140601

zbMATH Open0766.60079MaRDI QIDQ4029028FDOQ4029028

Authors: Etienne Pardoux, Shige Peng 

Publication date: 28 March 1993

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zbMATH Keywords

backward stochastic differential equationdiffusion processFeynman-Kac formulaWiener spaceparabolic partial differential equationgeneralized 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)

• A monotone scheme for high-dimensional fully nonlinear PDEs
• Mixed boundary value problems of semilinear elliptic PDEs and BSDEs with singular coefficients
• Multivalued backward stochastic differential equations with time delayed generators
• Viscosity solutions for systems of parabolic variational inequalities
• Numerical schemes for multivalued backward stochastic differential systems
• Reflected backward stochastic differential equations with time delayed generators
• Anticipated backward doubly stochastic differential equations
• Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures
• Backward doubly stochastic differential equations with discontinuous coefficients
• A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
• Singular forward-backward stochastic differential equations and emissions derivatives
• A probabilistic approach to Dirichlet problems of semilinear elliptic PDEs with singular coefficients
• On a class of backward stochastic Volterra integral equations
• Probabilistic interpretation of the Cauchy problem solution for systems of nonlinear parabolic equations
• Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
• BSDEs with random default time and related zero-sum stochastic differential games
• Multivalued backward stochastic differential equations with oblique subgradients
• Reflected backward stochastic differential equations with perturbations
• Quadratic reflected BSDEs with unbounded obstacles
• Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
• Forward-backward SDEs and the CIR model
• Anticipated backward stochastic differential equations driven by the Teugels martingales
• Reflected backward doubly stochastic differential equations with discontinuous barrier
• Backward stochastic differential equations with Markov chains and associated PDEs
• Comparison theorems for the multidimensional BDSDEs and applications
• Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
• Nonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1)
• Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
• Second order backward stochastic differential equations with quadratic growth
• Density analysis of BSDEs
• Strong approximations of BSDEs in a domain
• Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
• Doubly reflected BSDEs driven by a Lévy process
• Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)
• Backward stochastic variational inequalities on random interval
• Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
• Forward and backward filtering based on backward stochastic differential equations
• Markovian forward-backward stochastic differential equations and stochastic flows
• Density analysis of non-Markovian BSDEs and applications to biology and finance
• Stochastic regularization effects of semi-martingales on random functions
• Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes
• A BSDE approach to a risk-based optimal investment of an insurer
• Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
• A stochastic approach to a multivalued Dirichlet-Neumann problem
• Backward stochastic dynamics on a filtered probability space
• Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
• Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
• General existence results for reflected BSDE and BSDE
• Anticipated backward stochastic differential equations with quadratic growth
• Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
• Backward stochastic differential equations with random stopping time and singular final condition
• Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle
• Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver
• Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients
• Path-dependent equations and viscosity solutions in infinite dimension
• A semi-linear backward parabolic Cauchy problem with unbounded coefficients of Hamilton-Jacobi-Bellman type and applications to optimal control
• Densities of one-dimensional backward SDEs
• Probabilistic approach to viscosity solutions of the Cauchy problems for systems if fully nonlinear parabolic equations
• Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: A probabilistic approach
• Discrete-time approximation for continuously and discretely reflected BSDEs
• Some analytic approximations for backward stochastic differential equations
• A BSDE approach to convex risk measures for derivative securities
• Solution of forward-backward stochastic differential equations
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
• Optimal control of a stochastic heat equation with boundary-noise and boundary-control
• Generalized fractional BSDE with jumps and Lipschitz coefficients
• Numerical solution of variational inequalities: localization with Dirichlet conditions
• Reflected generalized BSDEs with random time and applications
• Probabilistic representation and approximation for coupled systems of variational inequalities
• Fractional backward stochastic differential equations and fractional backward variational inequalities
• Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space
• Functional inequalities for forward and backward diffusions
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
• BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
• Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
• Machine learning from a continuous viewpoint. I
• Gradient estimates for nonlinear diffusion semigroups by coupling methods
• Systems of nonlinear backward and forward Kolmogorov equations: generalized solutions
• Homogenization of periodic semilinear parabolic degenerate PDEs
• Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
• Controlled mean-field backward stochastic differential equations with jumps involving the value function
• A probabilistic approach to classical solutions of the master equation for large population equilibria
• Irregular barrier reflected BSDEs driven by a Lévy process
• Backward stochastic differential equations with non-Markovian singular terminal values
• Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients.
• A forward-backward SDE approach to affine models
• Actor-critic method for high dimensional static Hamilton-Jacobi-Bellman partial differential equations based on neural networks
• A Monte Carlo method for backward stochastic differential equations with Hermite martingales
• Pricing and hedging in incomplete markets with model uncertainty
• BSDE with rcll reflecting barrier driven by a Lévy process
• Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process
• Loss of regularity for Kolmogorov equations
• A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
• Deep neural networks based temporal-difference methods for high-dimensional parabolic partial differential equations
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
• Second order discretization of backward SDEs and simulation with the cubature method
• Optimal stopping for dynamic risk measures with jumps and obstacle problems

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