Semilinear Kolmogorov equations on the space of continuous functions via BSDEs

DOI10.1016/j.spa.2021.01.009zbMath1465.35284arXiv1910.05114OpenAlexW3131663974MaRDI QIDQ2029778

Gianmario Tessitore, Federica Masiero, Giovanni Zanco, Carlo Orrieri

Publication date: 4 June 2021

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

Full work available at URL: https://arxiv.org/abs/1910.05114

zbMATH Keywords

stochastic controlBSDEssemilinear path-dependent PDEsstochastic calculus in infinite dimension

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Initial value problems for second-order parabolic equations (35K15) Semilinear parabolic equations (35K58)

Related Items (2)

Partial smoothing of delay transition semigroups acting on special functions ⋮ Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations

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