scientific article; zbMATH DE number 140601
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- 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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- Generalized fractional BSDE with non Lipschitz coefficients
- Generalized mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward stochastic differential equations with subdifferential operator and its applications
- On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem
- \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
- BSDEs driven by multidimensional martingales and their applications to markets with funding costs
- Nonparametric estimation for FBSDEs models with applications in finance
- Wavefront propagation for reaction-diffusion systems and backward SDEs
- Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations
- Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain
- A regression-based numerical scheme for backward stochastic differential equations
- A class of quadratic forward-backward stochastic differential equations
- Convergence of BSDEs and homogenization of semilinear variational inequalities in a convex domain
- Homeomorphism of solutions to backward SDEs and applications
- Forward-backward SDEs with distributional coefficients
- Feynman-Kac representation of fully nonlinear PDEs and applications
- Probabilistic representations and numerical algorithms for classical and viscosity solutions of the Cauchy problem for quasilinear parabolic systems
- Sobolev weak solutions for parabolic PDEs and FBSDEs
- On the integral representation of \(g\)-expectations with terminal constraints
- Application of homogenization and large deviations to a parabolic semilinear equation
- Linear Backward Stochastic Differential Equations of Descriptor Type: Regular Systems
- Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
- Markov chains under nonlinear expectation
- Systems of quasilinear parabolic equations in \(\mathbb{R}^n\) and systems of quadratic backward stochastic differential equations
- Backward stochastic Volterra integral equations with additive perturbations
- Effect of volatility clustering on indifference pricing of options by convex risk measures
- A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
- BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
- Analysis of nonlinear valuation equations under credit and funding effects
- Backward stochastic differential equations with rank-based data
- Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
- On approximation of BSDE and multi-step MLE-processes
- On path-dependent multidimensional forward-backward SDEs
- 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.
- Reflected backward SDEs with general jumps
- Reflected backward stochastic differential equation with jumps and RCLL obstacle
- Backward stochastic differential equations and Dirichlet problems of semilinear elliptic operators with singular coefficients
- 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
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- 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
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- 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
- Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- On non-Markovian forward-backward SDEs and backward stochastic PDEs
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- Density estimates for solutions to one dimensional backward SDE's
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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
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