Variational approach for the adapted solution of the general backward stochastic differential equations under the Bihari condition

DOI10.1016/j.spl.2013.01.025zbMath1269.60058OpenAlexW1988467963MaRDI QIDQ1950783

Yan Qin, Ning-Mao Xia

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.01.025

zbMATH Keywords

stochastic differential equationexistenceuniquenessvariational approach

Mathematics Subject Classification ID

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

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Backward stochastic differential equations with continuous coefficient
• BSDEs with polynomial growth generators
• Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Linear quadratic regulation for linear time-varying systems with multiple input delays
• A generalization of a lemma of bellman and its application to uniqueness problems of differential equations

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