BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data

DOI10.1214/16-AIHP762zbMath1387.60105arXiv1505.06868MaRDI QIDQ1700380

Hao Xing, Huyên Pham, Andrea Cosso

Publication date: 5 March 2018

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.06868

zbMATH Keywords

randomizationbackward stochastic differential equation (BSDE)nonlinear Feynman-Kac formulaviscous Hamilton-Jacobi equationdeterministic KPZ equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Semilinear parabolic equations (35K58)

Related Items (5)

Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ Viscous Hamilton-Jacobi equations in exponential Orlicz hearts ⋮ Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem ⋮ BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions ⋮ Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities

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