scientific article; zbMATH DE number 140601

MaRDI QIDQ4029028zbMATH OpenFDO

Authors Etienne Pardoux, Shige Peng

Publication date 28 March 1993

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)

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Cited in

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• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
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• Reflected backward stochastic differential equation with jumps and RCLL obstacle
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• Simulation of BSDEs with jumps by Wiener chaos expansion
• Reflected BSDEs with nonpositive jumps, and controller-and-stopper games
• \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
• Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
• On backward stochastic differential equations and strict local martingales
• On viscosity solutions of path dependent PDEs
• Probabilistic model for the Lotka-Volterra system with cross-diffusion
• Backward SDEs and infinite horizon stochastic optimal control
• SPDEs with polynomial growth coefficients and the Malliavin calculus method
• Runge-Kutta schemes for backward stochastic differential equations
• 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
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Weak existence and uniqueness for forward-backward SDEs
• Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions
• Mean-field backward stochastic differential equations: A limit approach
• Backward SDEs with superquadratic growth
• A Fourier cosine method for an efficient computation of solutions to BSDEs
• BSDEs with terminal conditions that have bounded Malliavin derivative
• Simulation of BSDEs by Wiener chaos expansion
• Backward stochastic differential equations associated to a symmetric Markov process
• Backward stochastic differential equations with Markov chains and related asymptotic properties
• 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
• Stationary solutions of SPDEs and infinite horizon BDSDEs
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• Reflected generalized backward doubly SDEs driven by Lévy processes and applications
• Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations
• Functional Itō calculus and stochastic integral representation of martingales
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• Forward-backward stochastic equations associated with systems of quasilinear parabolic equations and comparison theorems
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Path regularity for solutions of backward stochastic differential equations
• Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
• \(L^p\) estimates for fully coupled FBSDEs with jumps
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Representation of solutions to BSDEs associated with a degenerate FSDE
• Adapted solution of a degenerate backward SPDE, with applications
• Numerical stability analysis of the Euler scheme for BSDEs
• Hedging options for a large investor and forward-backward SDE's
• 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
• A numerical scheme for BSDEs
• A class of backward stochastic differential equations with discontinuous coefficients
• Multi-dimensional BSDE with oblique reflection and optimal switching
• On the comparison theorem for multidimensional BSDEs
• Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
• BSDEs with jumps, optimization and applications to dynamic risk measures
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
• Randomized and backward SDE representation for optimal control of non-Markovian SDEs
• Representation theorems for backward stochastic differential equations
• Generalized stochastic differential utility and preference for information
• On a class of backward doubly stochastic differential equations
• \(L^p\) solution of general mean-field BSDEs with continuous coefficients
• Krylov and Safonov estimates for degenerate quasilinear elliptic PDEs
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Infinite horizon forward-backward stochastic differential equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations
• Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient
• Backward doubly stochastic equations with jumps and comparison theorems
• Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients
• Inter‐temporal mutual‐fund management
• Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
• Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem
• Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
• Backward doubly stochastic Volterra integral equations and their applications
• Stochastic recursive optimal control problem of reflected stochastic differential systems
• A class of globally solvable Markovian quadratic BSDE systems and applications
• Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
• Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
• Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
• Perturbed backward stochastic differential equations
• Double barrier reflected BSDEs with stochastic Lipschitz coefficient
• Probabilistic approach to singular perturbations of semilinear and quasilinear parabolic PDEs
• Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
• Probabilistic counterparts of nonlinear parabolic partial differential equation systems
• A representation theorem for generators of BSDEs with general growth generators in \(y\) and its applications

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