\(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space
From MaRDI portal
Publication:434367
DOI10.1007/s00245-011-9154-9zbMath1266.60116arXiv1006.1171OpenAlexW2012826706MaRDI QIDQ434367
Jinniao Qiu, Shanjian Tang, Kai Du
Publication date: 10 July 2012
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1006.1171
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)
Related Items
Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations ⋮ On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces ⋮ SDEs with random and irregular coefficients ⋮ Pricing Options under Rough Volatility with Backward SPDEs ⋮ Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations ⋮ Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations ⋮ Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise ⋮ Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information ⋮ Reflected backward stochastic partial differential equations in a convex domain ⋮ Necessary condition for optimal control of doubly stochastic systems ⋮ Stochastic optimal control for backward stochastic partial differential systems ⋮ On the quasi-linear reflected backward stochastic partial differential equations ⋮ 2D backward stochastic Navier-Stokes equations with nonlinear forcing ⋮ On non-Markovian forward-backward SDEs and backward stochastic PDEs ⋮ The microscopic derivation and well-posedness of the stochastic Keller-Segel equation ⋮ Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations ⋮ A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition ⋮ Controlled reflected SDEs and Neumann problem for backward SPDEs ⋮ The Cauchy problem of backward stochastic super-parabolic equations with quadratic growth ⋮ Maximum principle for quasi-linear backward stochastic partial differential equations ⋮ A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions ⋮ Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations ⋮ Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps ⋮ On the Cauchy-Dirichlet problem in a half space for backward SPDEs in weighted Hölder spaces
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Adapted solution of a backward stochastic differential equation
- 2D backward stochastic Navier-Stokes equations with nonlinear forcing
- On the Itô--Wentzell formula for distribution-valued processes and related topics
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- A duality analysis on stochastic partial differential equations
- On semi-linear degenerate backward stochastic partial differential equations
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- \(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space
- Semi-linear systems of backward stochastic partial differential equations in \(\mathbb{R}^n\)
- \(L^p\) solutions of backward stochastic differential equations.
- A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\)
- Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs
- Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
- Adapted solution of a backward semilinear stochastic evolution equation
- Stochastic Hamilton–Jacobi–Bellman Equations
- Linear Quadratic Optimal Stochastic Control with Random Coefficients
- An Introductory Approach to Duality in Optimal Stochastic Control
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
- On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
- Backward Stochastic Differential Equations in Finance
- On $L_p $-Theory of Stochastic Partial Differential Equations in the Whole Space
- Stochastic evolution equations
- A note on Krylov's \(L_p\)-theory for systems of SPDEs