Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients

DOI10.1051/ps:2006005zbMath1184.60015OpenAlexW2020032899MaRDI QIDQ5429574

Olivier Riviere, Romain Abraham

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2006__10__184_0

zbMATH Keywords

partial differential equationsforward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (2)

A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems ⋮ $L^p$-theory of forward-backward stochastic differential equations

Cites Work

• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Backward-forward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• A forward-backward stochastic algorithm for quasi-linear PDEs
• Unnamed Item

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