Multi-valued backward stochastic differential equations driven byG-Brownian motion and its applications
From MaRDI portal
Publication:5348413
DOI10.1002/mma.4335zbMath1370.60100OpenAlexW2592386073MaRDI QIDQ5348413
Yong Ren, Fen-fen Yang, Lanying Hu
Publication date: 15 August 2017
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.4335
variational inequalityviscosity solutionbackward stochastic differential equation\(G\)-Brownian motionsubdifferential operator
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variational inequalities (49J40) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)
Related Items
Cites Work
- Unnamed Item
- Exponential stability of solutions to impulsive stochastic differential equations driven by \(G\)-Brownian motion
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Adapted solution of a backward stochastic differential equation
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- A note on the stochastic differential equations driven by \(G\)-Brownian motion
- Zero-sum stochastic differential games and backward equations
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- Mean-field backward stochastic differential equations with subdifferential operator and its applications
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Multivalued Skorohod problem
- Backward stochastic differential equations with subdifferential operator and related variational inequalities
- Backward stochastic variational inequalities on random interval
- Backward stochastic differential equations and applications to optimal control
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Stochastic functional differential equations with infinite delay driven by G -Brownian motion
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- User’s guide to viscosity solutions of second order partial differential equations
- Approximation and simulation of stochastic variational inequalities - splitting up method
- Backward Stochastic Differential Equations in Finance
- Extension and Application of Itô's Formula UnderG-Framework
- Nonlinear Differential Equations of Monotone Types in Banach Spaces
