scientific article; zbMATH DE number 140601

zbMATH Open0766.60079MaRDI QIDQ4029028FDOQ4029028

Publication date: 28 March 1993

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

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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
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
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Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
On a class of backward doubly stochastic differential equations
Simulation of BSDEs with jumps by Wiener chaos expansion
Backward SDEs with superquadratic growth
Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
Weak existence and uniqueness for forward-backward SDEs
\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
Adapted solution of a degenerate backward SPDE, with applications
Forward-backward stochastic differential equations and quasilinear parabolic PDEs
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
Backward SDEs and infinite horizon stochastic optimal control
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
Functional Itō calculus and stochastic integral representation of martingales
Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations
A numerical scheme for BSDEs
Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
Probabilistic model for the Lotka-Volterra system with cross-diffusion
On non-Markovian forward-backward SDEs and backward stochastic PDEs
Backward doubly stochastic equations with jumps and comparison theorems
On backward stochastic differential equations and strict local martingales
Mean-field backward stochastic differential equations: A limit approach
Path regularity for solutions of backward stochastic differential equations
Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
A Fourier cosine method for an efficient computation of solutions to BSDEs

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