scientific article; zbMATH DE number 140601

zbMATH Open0766.60079MaRDI QIDQ4029028FDOQ4029028

Authors: Etienne Pardoux, Shige Peng 

Publication date: 28 March 1993

Title of this publication is not available (Why is that?)

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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)

• 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
• A class of globally solvable Markovian quadratic BSDE systems and applications
• Sobolev weak solutions for parabolic PDEs and FBSDEs
• On the integral representation of \(g\)-expectations with terminal constraints
• Analysis of nonlinear valuation equations under credit and funding effects
• Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
• Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
• Backward stochastic Volterra integral equations with additive perturbations
• Perturbed backward stochastic differential equations
• A regression-based numerical scheme for backward stochastic differential equations
• A class of quadratic forward-backward stochastic differential equations
• Probabilistic approach to singular perturbations of semilinear and quasilinear parabolic PDEs
• 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
• Forward-backward SDEs with distributional coefficients
• On path-dependent multidimensional forward-backward SDEs
• Probabilistic representations and numerical algorithms for classical and viscosity solutions of the Cauchy problem for quasilinear parabolic systems
• Backward doubly stochastic Volterra integral equations and their applications
• 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
• Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
• Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
• Effect of volatility clustering on indifference pricing of options by convex risk measures
• Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
• 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
• Nonparametric estimation for FBSDEs models with applications in finance
• Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain
• Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs
• Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem
• Probabilistic counterparts of nonlinear parabolic partial differential equation systems
• Feynman-Kac representation of fully nonlinear PDEs and applications
• 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
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• Reflected BSDE's with discontinuous barrier and time delayed generators
• HJB equations in infinite dimensions with locally Lipschitz Hamiltonian and unbounded terminal condition
• Time-inconsistent recursive zero-sum stochastic differential games
• A stochastic optimal control problem for the heat equation on the halfline with Dirichlet boundary-noise and boundary-control
• Special weak Dirichlet processes and BSDEs driven by a random measure
• BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion.
• Probabilistic interpretation of the Cauchy problem for systems of nonlinear parabolic equations
• Representation and converse comparison theorems for multidimensional BSDEs
• Ergodic BSDEs driven by \(G\)-Brownian motion and applications
• Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
• Path-dependent BSDEs with jumps and their connection to PPIDEs
• Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
• Reflected BSDEs in non-convex domains
• SPDIEs and BSDEs driven by Lévy processes and countable Brownian motions
• BSDEs with regime switching: weak convergence and applications
• Time discretization and Markovian iteration for coupled FBSDEs
• A Bismut-Elworthy formula for quadratic BSDEs
• Renegotiation and dynamic inconsistency: contracting with non-exponential discounting
• Utility maximization with random horizon: a BSDE approach
• Stochastic viscosity solutions for SPDEs with continuous coefficients
• A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations
• A new numerical method for 1-D backward stochastic differential equations without using conditional expectations
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
• General mean-field BSDEs with continuous coefficients

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