Integro-partial differential equations with singular terminal condition
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Publication:2357187
DOI10.1016/j.na.2017.01.012OpenAlexW2962703905MaRDI QIDQ2357187
Publication date: 19 June 2017
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.07907
viscosity solutionbackward stochastic differential equationintegro-partial differential equationssingular condition
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic processes (60G99) Viscosity solutions to PDEs (35D40) Integro-partial differential equations (35R09)
Related Items
Solutions of nonlinear integro-partial differential equations by the method of \((G^\prime/G, 1/G)\) ⋮ Continuity problem for singular BSDE with random terminal time ⋮ Backward stochastic differential equations with non-Markovian singular terminal values ⋮ Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint
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