scientific article; zbMATH DE number 1032935

zbMATH Open0866.00052MaRDI QIDQ4344073FDOQ4344073

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Publication date: 9 July 1997

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

zbMATH Keywords

Stochastic differential equationsBackward stochastic equations

Mathematics Subject Classification ID

Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Proceedings, conferences, collections, etc. pertaining to systems and control theory (93-06)

Cited In (64)

• A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
• Backward Nonlinear Smoothing Diffusions
• Continuity problem for BSDE and IPDE with singular terminal condition
• Existence and uniqueness of solutions to backward 2D and 3D stochastic convective Brinkman-Forchheimer equations forced by Lévy noise
• Reflections on BSDEs
• Risk minimization for an insurer with investment and reinsurance via g-expectation
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• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• The existence and uniqueness of the solution for nonlinear elliptic equations in Hilbert spaces
• A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
• Existence and uniqueness of multidimensional BSDEs and of systems of degenerate PDEs with superlinear growth generator
• One order numerical scheme for forward-backward stochastic differential equations
• 2D backward stochastic Navier-Stokes equations with nonlinear forcing
• A probabilistic characterization of g-harmonic functions
• Asymptotic expansion for forward-backward SDEs with jumps
• BSDEs driven by Lévy process with enlarged filtration and applications in finance
• Malliavin calculus for backward stochastic differential equations and application to numerical solutions
• Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
• The existence and uniqueness of the solution for nonlinear Kolmogorov equations
• A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE.
• Dynamics of solvency risk in life insurance liabilities
• Title not available (Why is that?)
• The maximum principle for partially observed optimal control of FBSDE driven by Teugels martingales and independent Brownian motion
• Backward stochastic differential equations with constraints on the gains-process
• One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators
• A numerical scheme for BSDEs
• Weak solutions for forward-backward SDEs-a martingale problem approach
• Reflected BSDE driven by a Lévy process
• Event risk, contingent claims and the temporal resolution of uncertainty
• Representation theorems of monotonicity generators for BSDEs via \(L^p\) (\(p > 1\)) solutions in general time intervals
• Mean field games with absorption and common noise with a model of bank run
• Two-Step Scheme for Backward Stochastic Differential Equations
• Some recent aspects of differential game theory
• Stochastic representation under \(g\)-expectation and applications: the discrete time case
• Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces
• Short-time asymptotic expansions of semilinear evolution equations
• Optimal control of a stochastic delay partial differential equation with boundary-noise and boundary-control
• Bell's theorem, many worlds and backwards-time physics: Not just a matter of interpretation
• BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion.
• Title not available (Why is that?)
• Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
• Infinite horizon optimal control of stochastic delay evolution equations in Hilbert spaces
• Optimal control for stochastic Volterra equations with multiplicative Lévy noise
• A general comparison theorem for backward stochastic differential equations
• Perturbed backward stochastic differential equations
• Backward stochastic dynamics on a filtered probability space
• One dimensional BSDEs with logarithmic growth application to PDEs
• Integro-partial differential equations with singular terminal condition
• Ergodic backward stochastic difference equations
• Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients
• \(L^p\)-estimates of solutions of backward doubly stochastic differential equations
• Law of large numbers under the nonlinear expectation
• Some analytic approximations for backward stochastic differential equations
• Optimal control of a stochastic delay heat equation with boundary-noise and boundary-control
• Title not available (Why is that?)
• Open problems on backward stochastic differential equations
• The application of multi-dimensional Jensen's inequality for \(G\)-martingale
• Scaling limit for stochastic control problems in population dynamics
• Non-zero sum differential games of backward stochastic differential delay equations under partial information
• Backward stochastic differential equations with singular terminal condition
• A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes.
• Convex pricing by a generalized entropy penalty
• Feynman-Kac representation of fully nonlinear PDEs and applications
• On approximation of the backward stochastic differential equation

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