scientific article; zbMATH DE number 140601
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(only showing first 100 items - show all)- Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Backward doubly stochastic differential equations with discontinuous coefficients
- Sobolev weak solutions for parabolic PDEs and FBSDEs
- Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes
- Homogenization of periodic semilinear parabolic degenerate PDEs
- Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
- Adapted solution of a degenerate backward SPDE, with applications
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Wavefront propagation for reaction-diffusion systems and backward SDEs
- 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
- A numerical scheme for BSDEs
- Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
- Path regularity for solutions of backward stochastic differential equations
- Convergence of BSDEs and homogenization of semilinear variational inequalities in a convex domain
- Infinite horizon forward-backward stochastic differential equations
- Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
- General mean-field BSDEs with continuous coefficients
- Backward stochastic differential equations with Markov chains and related asymptotic properties
- Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
- Reflected backward stochastic differential equations with perturbations
- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Backward stochastic differential equations and Dirichlet problems of semilinear elliptic operators with singular coefficients
- Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
- Backward stochastic Volterra integral equations with additive perturbations
- Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
- Probabilistic representations and numerical algorithms for classical and viscosity solutions of the Cauchy problem for quasilinear parabolic systems
- A representation theorem for generators of BSDEs with general growth generators in y and its applications
- Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
- Generalized fractional BSDE with non Lipschitz coefficients
- Controlled mean-field backward stochastic differential equations with jumps involving the value function
- A regression-based numerical scheme for backward stochastic differential equations
- Double barrier reflected BSDEs with stochastic Lipschitz coefficient
- BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
- Backward stochastic differential equations with rank-based data
- Special weak Dirichlet processes and BSDEs driven by a random measure
- Reflected BSDEs with optional barrier in a general filtration
- Comparison theorem for nonlinear path-dependent partial differential equations
- Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations
- One order numerical scheme for forward-backward stochastic differential equations
- Retracted: ``Multidimensional viscosity solution theory of semi-linear partial differential equations
- Path-dependent equations and viscosity solutions in infinite dimension
- A class of globally solvable Markovian quadratic BSDE systems and applications
- Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
- BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion.
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Generalized stochastic differential utility and preference for information
- Densities of one-dimensional backward SDEs
- Backward stochastic differential equations associated to a symmetric Markov process
- An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation
- Backward doubly SDEs with continuous and stochastic linear growth coefficients
- Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: A probabilistic approach
- Hedging options for a large investor and forward-backward SDE's
- Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
- Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
- Representation theorems for backward stochastic differential equations
- Numerical method for backward stochastic differential equations
- Evolution equation of a stochastic semigroup with white-noise drift.
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
- Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
- Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
- Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients.
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- Solution of forward-backward stochastic differential equations
- Generalized backward doubly stochastic differential equations driven by Lévy processes with continuous coefficients
- Reflected generalized backward doubly SDEs driven by Lévy processes and applications
- A forward-backward SDE approach to affine models
- Perturbed backward stochastic differential equations
- Density estimates for solutions to one dimensional backward SDE's
- Functional Itō calculus and stochastic integral representation of martingales
- Singular forward-backward stochastic differential equations and emissions derivatives
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA
- BSDE with rcll reflecting barrier driven by a Lévy process
- Martingale driven BSDEs, PDEs and other related deterministic problems
- Strong-viscosity solutions: classical and path-dependent PDEs
- Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs
- Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
- Interior gradient and Hessian estimates for the Dirichlet problem of semi-linear degenerate elliptic systems: a probabilistic approach
- Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
- A Bismut-Elworthy formula for quadratic BSDEs
- Anticipated backward stochastic differential equations driven by the Teugels martingales
- Singular limit of BSDEs and optimal control of two scale stochastic systems in infinite dimensional spaces
- Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs
- The link between stochastic differential equations with non-Markovian coefficients and backward stochastic partial differential equations
- High-order combined multi-step scheme for solving forward backward stochastic differential equations
- Discretization and machine learning approximation of BSDEs with a constraint on the gains-process
- Stochastic ordering by \(g\)-expectations
- Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples
- Reflected backward stochastic differential equation with rank-based data
- A study of backward stochastic differential equation on a Riemannian manifold
- Gradient convergence of deep learning-based numerical methods for BSDEs
- Mean-field backward stochastic differential equations driven by fractional Brownian motion
- Forcing the system by a drift
- Multilevel Picard iterations for solving smooth semilinear parabolic heat equations
- Strong solutions of forward-backward stochastic differential equations with measurable coefficients
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