Homeomorphism of solutions to backward SDEs and applications

DOI10.1016/J.SPA.2006.09.005zbMATH Open1110.60061OpenAlexW2036871347MaRDI QIDQ869104FDOQ869104

Authors: Huijie Qiao, Xicheng Zhang 

Publication date: 26 February 2007

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

Full work available at URL: https://doi.org/10.1016/j.spa.2006.09.005

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zbMATH Keywords

backward stochastic differential equationcomparison theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15) Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• A General Stochastic Maximum Principle for Optimal Control Problems
• Title not available (Why is that?)
• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• Title not available (Why is that?)
• On the strong comparison theorems for solutions of stochastic differential equations
• Title not available (Why is that?)
• Backward stochastic differential equations and applications to optimal control
• Comparison theorem for solutions of backward stochastic differential equations with continuous coefficient
• Stochastic flows for SDEs with non-Lipschitz coefficient.
• Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients

Cited In (3)

• A homeomorphism relating path spaces of stochastic processes with values in \(\mathbb R^{\mathbb Z}\) respectively \((S^{1})^{\mathbb Z}\)
• A note on homeomorphism for backward doubly SDEs and applications
• Densities of one-dimensional backward SDEs

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