Explicit solutions for a class of nonlinear BSDEs and their nodal sets

DOI10.3934/puqr.2022017zbMath1502.60089OpenAlexW4312662981MaRDI QIDQ2096192

Shuhui Liu, Zhongmin Qian, Xingcheng Xu, Zeng-Jing Chen

Publication date: 16 November 2022

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/puqr.2022017

zbMATH Keywords

parabolic equationexplicit solutionFeynman-Kac formulanodal setGirsanov's formulaTanaka's formulanonlinear BSDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (1)

Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional

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