Stationary backward stochastic differential equations and associated partial differential equations (Q1960925)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Stationary backward stochastic differential equations and associated partial differential equations |
scientific article; zbMATH DE number 1389149
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stationary backward stochastic differential equations and associated partial differential equations |
scientific article; zbMATH DE number 1389149 |
Statements
Stationary backward stochastic differential equations and associated partial differential equations (English)
0 references
19 November 2000
0 references
Using a nonlinear backward stationary differential equation and the related nonlinear Feynman-Kac formula it is given a stochastic formulation of ergodic problems arising in certain nonlinear systems. The terminal condition is replaced by the stationarity assumption and it is analyzed the one-to-one corespondence between a stationary solution and the classical solution of the corresponding periodic partial differential equation. There are stated and proved three theorems and several lemmas. It is recommended to those working in probabilistic interpretation of quasilinear partial differential equations.
0 references
backward stochastic differential equations
0 references
partial differential equations
0 references
