Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients

DOI10.1016/j.spa.2004.02.002zbMath1084.60031OpenAlexW2158419444MaRDI QIDQ2485765

Ying Hu, Jin Ma

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2004.02.002

zbMATH Keywords

measurable selectionsclassical and viscosity solutionsdiscrete-functionalsmulti-dimensional backward stochastic differential equations with continuous coefficientsstandard \(d\)-dimensional Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) Stochastic systems in control theory (general) (93E03)

Related Items (10)

Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation ⋮ On the Uniqueness of Solutions to Quadratic BSDEs with Non-convex Generators ⋮ BSDE, path-dependent PDE and nonlinear Feynman-Kac formula ⋮ Reflected BSDEs in non-convex domains ⋮ Forward-backward stochastic differential equations: initiation, development and beyond ⋮ Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition ⋮ On non-Markovian forward-backward SDEs and backward stochastic PDEs ⋮ Backward stochastic Volterra integral equations -- representation of adapted solutions ⋮ BSDEs with jumps and path-dependent parabolic integro-differential equations ⋮ Weak solutions for forward-backward SDEs-a martingale problem approach

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