Second-order backward stochastic differential equations under a monotonicity condition

DOI10.1016/j.spa.2013.01.002zbMath1282.60059arXiv1201.1049OpenAlexW1969913323MaRDI QIDQ1947592

Dylan Possamaï

Publication date: 22 April 2013

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

Full work available at URL: https://arxiv.org/abs/1201.1049

zbMATH Keywords

monotonicity conditionssecond-order backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Moral hazard under ambiguity ⋮ Probabilistic interpretation for solutions of fully nonlinear stochastic pdes ⋮ Representation of solutions to 2BSDEs in an extended monotonicity setting ⋮ Second order backward stochastic differential equations with quadratic growth ⋮ Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Infinite horizon BSDEs under consistent nonlinear expectations ⋮ Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients

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