scientific article; zbMATH DE number 1066312

zbMATH Open0886.60054MaRDI QIDQ4357499FDOQ4357499

Authors: Nicole El Karoui 

Publication date: 4 May 1998

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

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zbMATH Keywords

backward stochastic differential equationscomparison theoremFeynman-Kac formulaforward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (34)

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• Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
• Backward stochastic viability and related properties on \(Z\) for BSDEs with applications
• Adapted solution of a backward stochastic differential equation
• BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
• Neumann boundary problems for parabolic partial differential equations with divergence terms
• Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
• Continuous dependence properties on solutions of backward stochastic differential equation
• A probabilistic interpretation of the divergence and BSDE's.
• Dynamics of solvency risk in life insurance liabilities
• Forward-backward stochastic differential equations: initiation, development and beyond
• Analog quantum computing (AQC) and the need for time-symmetric physics
• Infinite interval backward stochastic differential equations in the plane
• On the existence or non-existence of solutions for certain backward stochastic differential equations
• Backward stochastic differential equations in the plane
• Limit theorems for BSDE with local time applications to non-linear PDE
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Probabilistic approach to homogenization of a non-divergence form semilinear PDE with non-periodic coefficients
• A comonotonic theorem for BSDEs
• Title not available (Why is that?)
• BSDE driven by Dirichlet process and semi-linear parabolic PDE. Application to homogeniza\-tion.
• Backward stochastic differential equations with rough drivers
• Representation theorems for backward stochastic differential equations
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• Backward stochastic dynamics on a filtered probability space
• Backward stochastic differential equation with random measures
• Title not available (Why is that?)
• Weak Solutions of Forward–Backward SDE's
• Backward stochastic differential equations associated to a symmetric Markov process
• Existence of a weak solution to a Markovian BSDE with discontinuous coefficients
• Well-posedness of backward stochastic partial differential equations with Lyapunov condition
• Decoupling on the Wiener space and variational estimates for BSDEs
• Solution of the HJB equations involved in utility-based pricing

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