scientific article; zbMATH DE number 140601
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(only showing first 100 items - show all)- Functional inequalities for forward and backward diffusions
- Singular forward-backward stochastic differential equations and emissions derivatives
- Backward stochastic differential equations with random stopping time and singular final condition
- Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
- Markovian forward-backward stochastic differential equations and stochastic flows
- Path-dependent equations and viscosity solutions in infinite dimension
- A semi-linear backward parabolic Cauchy problem with unbounded coefficients of Hamilton-Jacobi-Bellman type and applications to optimal control
- Discrete-time approximation for continuously and discretely reflected BSDEs
- Backward stochastic variational inequalities on random interval
- Solution of forward-backward stochastic differential equations
- Probabilistic interpretation of the Cauchy problem solution for systems of nonlinear parabolic equations
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator
- Anticipated backward doubly stochastic differential equations
- Quadratic reflected BSDEs with unbounded obstacles
- Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space
- Reflected solutions of generalized anticipated BSDEs and application to reflected BSDEs with functional barrier
- Optimal control of a stochastic heat equation with boundary-noise and boundary-control
- Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)
- Second order backward stochastic differential equations with quadratic growth
- Densities of one-dimensional backward SDEs
- Generalized fractional BSDE with jumps and Lipschitz coefficients
- Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures
- Regularity and representation of viscosity solutions of partial differential equations via backward stochastic differential equations
- Density analysis of non-Markovian BSDEs and applications to biology and finance
- Backward stochastic differential equations with Markov chains and associated PDEs
- On a class of backward stochastic Volterra integral equations
- Mixed boundary value problems of semilinear elliptic PDEs and BSDEs with singular coefficients
- Multivalued backward stochastic differential equations with time delayed generators
- Comparison theorems for the multidimensional BDSDEs and applications
- Probabilistic approach to viscosity solutions of the Cauchy problems for systems if fully nonlinear parabolic equations
- A stochastic approach to a multivalued Dirichlet-Neumann problem
- Numerical solution of variational inequalities: localization with Dirichlet conditions
- Reflected generalized BSDEs with random time and applications
- Anticipated backward stochastic differential equations driven by the Teugels martingales
- A BSDE approach to convex risk measures for derivative securities
- General existence results for reflected BSDE and BSDE
- Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
- Anticipated backward stochastic differential equations with quadratic growth
- Backward stochastic dynamics on a filtered probability space
- Reflected backward doubly stochastic differential equations with discontinuous barrier
- Viscosity solutions for systems of parabolic variational inequalities
- Some analytic approximations for backward stochastic differential equations
- Numerical schemes for multivalued backward stochastic differential systems
- A probabilistic approach to Dirichlet problems of semilinear elliptic PDEs with singular coefficients
- Reflected backward stochastic differential equations with time delayed generators
- BSDEs with random default time and related zero-sum stochastic differential games
- Existence and uniqueness for reflected BSDE with multivariate point process and right upper semicontinuous obstacle
- Density analysis of BSDEs
- Multivalued backward stochastic differential equations with oblique subgradients
- BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
- Strong approximations of BSDEs in a domain
- Forward and backward filtering based on backward stochastic differential equations
- Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations
- Forward-backward SDEs and the CIR model
- Reflected backward stochastic differential equations with perturbations
- Homogenization of linear and semilinear second order parabolic PDEs with periodic coefficients: A probabilistic approach
- Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition
- Doubly reflected BSDEs driven by a Lévy process
- Stochastic regularization effects of semi-martingales on random functions
- Nonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1)
- BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs
- Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes
- Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver
- Backward doubly stochastic differential equations with discontinuous coefficients
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
- A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
- Infinite Horizon Reflected Backward SDEs with Jumps and RCLL Obstacle
- Probabilistic representation and approximation for coupled systems of variational inequalities
- Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
- A BSDE approach to a risk-based optimal investment of an insurer
- Fractional backward stochastic differential equations and fractional backward variational inequalities
- Existence, uniqueness and stability of backward stochastic differential equations with locally monotone coefficient
- A monotone scheme for high-dimensional fully nonlinear PDEs
- Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients
- 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
- 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
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