Backward doubly stochastic differential equations and SPDEs with quadratic growth

DOI10.1016/J.SPA.2024.104405MaRDI QIDQ6596210zbMATH OpenFDO

Authors Ying Hu, Jiaqiang Wen, Jie Xiong

Publication date 2 September 2024

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2024.104405

zbMATH Keywords

backward doubly stochastic differential equationFeynman-Kac formulaquadratic growthSobolev solutionstochastic partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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Cited in

(5)

• Large deviation principle for backward stochastic differential equations with a stochastic Lipschitz condition on z
• A partially observed nonzero-sum differential game of mean-field backward doubly stochastic systems
• Mean-field backward stochastic differential equations and nonlocal PDEs with quadratic growth
• Anticipated backward stochastic differential equations with quadratic growth: multidimensional results
• A maximum principle for robust optimal control problems of quadratic BSDEs

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