scientific article; zbMATH DE number 140601

zbMATH Open0766.60079MaRDI QIDQ4029028FDOQ4029028

Publication date: 28 March 1993

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On semi-linear degenerate backward stochastic partial differential equations

backward stochastic differential equation diffusion process Feynman-Kac formula Wiener space parabolic partial differential equation generalized 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)

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
Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)
The obstacle problem for quasilinear stochastic integral-partial differential equations
Optimal consumption and investment with Epstein-Zin recursive utility
A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems
Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations
Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
On weak solutions of forward-backward SDEs
\(G\)-Brownian motion as rough paths and differential equations driven by \(G\)-Brownian motion
A convolution method for numerical solution of backward stochastic differential equations
Probabilistic interpretations of quasilinear parabolic systems
BSDEs with jumps and path-dependent parabolic integro-differential equations
Martingale driven BSDEs, PDEs and other related deterministic problems
Strong-viscosity solutions: classical and path-dependent PDEs
Stochastic Optimal Control with Delay in the Control I: Solving the HJB Equation through Partial Smoothing
High-order combined multi-step scheme for solving forward backward stochastic differential equations
Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
Rational expectations models: An approach using forward-backward stochastic differential equations
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

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