Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs

DOI10.1016/j.jmaa.2019.123791zbMath1431.60049OpenAlexW2995343788WikidataQ126556104 ScholiaQ126556104MaRDI QIDQ2302933

Huaizhong Zhao, Yu-feng Shi

Publication date: 26 February 2020

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2019.123791

zbMATH Keywords

Feynman-Kac formulaPoisson equationselliptic PDEsprobabilistic interpretationsforward-backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (5)

FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs ⋮ A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations ⋮ Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients

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