RBSDE's with jumps and the related obstacle problems for integral-partial differential equa\-tions

DOI10.1007/S11425-006-0557-ZMaRDI QIDQ862702zbMATH OpenOpenAlexFDO

Authors Yu-lian Fan

Publication date 24 January 2007

Published in Science in China. Series A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-006-0557-z

zbMATH Keywords

viscosity solutionreflected backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integral equations (60H20)

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Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3390061 (Why is no real title available?)
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations and integral-partial differential equations
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Reflected backward stochastic differential equation with jumps and random obstacle
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group

Cited in

(7)

• The obstacle problem for semilinear parabolic partial integro-differential equations
• Reflected BSDE and Reflected PDIE
• BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game
• Limit theorem and uniqueness theorem of backward stochastic differential equations
• Reflected forward-backward stochastic differential equations and related PDEs
• The obstacle problem of integro-partial differential equations with applications to stochastic optimal control/stopping problem
• Weak solutions of semilinear PIDE's with obstacle(s) in Sobolev spaces and their probabilistic interpretation via the RFBSDE's with jumps and DRFBSDE's with jumps

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