Second order backward SDE with random terminal time
From MaRDI portal
Publication:2201514
DOI10.1214/20-EJP498zbMath1459.60126arXiv1802.02260OpenAlexW3063606321MaRDI QIDQ2201514
Nizar Touzi, Zhenjie Ren, Junjian Yang, Yi-Qing Lin
Publication date: 29 September 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.02260
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (13)
Controlled Diffusion Mean Field Games with Common Noise and McKean--Vlasov Second Order Backward SDEs ⋮ Random Horizon Principal-Agent Problems ⋮ Nonlinear predictable representation and \({\mathbb{L}^1} \)-solutions of backward SDEs and second-order backward SDEs ⋮ Quadratic BSDEs with mean reflection driven by G-brownian motion ⋮ Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition ⋮ Continuous-time incentives in hierarchies ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ A framework of BSDEs with stochastic Lipschitz coefficients ⋮ BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients ⋮ Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs ⋮ An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion ⋮ Infinite horizon BSDEs under consistent nonlinear expectations ⋮ Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Superreplication under volatility uncertainty for measurable claims
- Measurability of semimartingale characteristics with respect to the probability law
- Pathwise construction of stochastic integrals
- Wellposedness of second order backward SDEs
- Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations
- Adapted solution of a backward stochastic differential equation
- \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition
- Robust superhedging with jumps and diffusion
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.
- Stochastic optimal control. The discrete time case
- Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Backwards SDE with random terminal time and applications to semilinear elliptic PDE
- A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- Stochastic control for a class of nonlinear kernels and applications
- Backward stochastic differential equations with stochastic monotone coefficients
- BSDEs with polynomial growth generators
- On pathwise stochastic integration
- Dual formulation of second order target problems
- Backward stochastic differential equations with random stopping time and singular final condition
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Constructing sublinear expectations on path space
- BSDE on an infinite horizon and elliptic PDEs in infinite dimension
- Multidimensional diffusion processes.
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Backward Stochastic Differential Equations in Finance
- BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
- Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem
This page was built for publication: Second order backward SDE with random terminal time
