Constructing gamma-martingales with prescribed limit, using backwards SDE
From MaRDI portal
Publication:1902950
DOI10.1214/aop/1176988182zbMath0839.58060OpenAlexW2095055212MaRDI QIDQ1902950
Publication date: 24 June 1996
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176988182
Generalizations of martingales (60G48) Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic integral equations (60H20)
Related Items (17)
A characterization of solutions of quadratic BSDEs and a new approach to existence ⋮ Long time asymptotics for fully nonlinear Bellman equations: a backward SDE approach ⋮ A CLASS OF TWO-PARAMETER BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A BROWNIAN SHEET ⋮ Reflected solutions of backward SDE's, and related obstacle problems for PDE's ⋮ Reflected BSDEs in non-convex domains ⋮ Backwards SDE with random terminal time and applications to semilinear elliptic PDE ⋮ Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs ⋮ Brownian motion and the formation of singularities in the heat flow for harmonic maps ⋮ A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications ⋮ Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients ⋮ A stability approach for solving multidimensional quadratic BSDEs ⋮ A class of globally solvable Markovian quadratic BSDE systems and applications ⋮ A comonotonic theorem for BSDEs ⋮ A study of backward stochastic differential equation on a Riemannian manifold ⋮ Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model ⋮ Explicit solutions for a class of nonlinear BSDEs and their nodal sets ⋮ Limit theorems for BSDE with local time applications to non-linear PDE
This page was built for publication: Constructing gamma-martingales with prescribed limit, using backwards SDE
