Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations

DOI10.1016/J.SPA.2014.07.013zbMATH Open1314.60135OpenAlexW2065884589WikidataQ115341148 ScholiaQ115341148MaRDI QIDQ744227FDOQ744227

Authors: Zhen Wu, Zhiyong Yu 

Publication date: 6 October 2014

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

Full work available at URL: https://doi.org/10.1016/j.spa.2014.07.013

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zbMATH Keywords

viscosity solutionforward-backward stochastic differential equationsmonotonicity conditionquasilinear parabolic partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Quasilinear parabolic equations (35K59) Applications of stochastic analysis (to PDEs, etc.) (60H30) Representations of solutions to partial differential equations (35C99)

Cites Work

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Cited In (28)

• Quadratic reflected BSDEs and related obstacle problems for PDEs
• Forward–backward stochastic differential equations with delay generators
• Global solutions of stochastic Stackelberg differential games under convex control constraint
• Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
• Well-posedness of fully coupled linear forward-backward stochastic differential equations
• Probabilistic interpretation of a system of quasilinear elliptic partial differential equations under Neumann boundary conditions
• Classical and weak solutions of the partial differential equations associated with a class of two-point boundary value problems
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
• A probabilistic representation for heat flow of harmonic map on manifolds with time-dependent Riemannian metric
• Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• Title not available (Why is that?)
• The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equation
• Probabilistic interpretation of a system of semilinear parabolic partial differential equations
• A class of stochastic Fredholm-algebraic equations and applications in finance
• Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations
• \(L^p\)-estimate for linear forward-backward stochastic differential equations
• On path-dependent multidimensional forward-backward SDEs
• Theory of forward backward stochastic differential equations and its applications
• On well-posedness of forward-backward SDEs -- a unified approach
• General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations
• Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient
• Quasi-linear PDEs and forward-backward stochastic differential equations: weak solutions
• Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations
• Existence of an optimal control for a system driven by a degenerate coupled forward-backward stochastic differential equations
• A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems
• A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations
• Probabilistic interpretations of quasilinear parabolic systems

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