Reflected forward–backward stochastic differential equations and related PDEs

DOI10.1080/07362994.2016.1195747zbMath1347.60070OpenAlexW2490892539MaRDI QIDQ2821913

Ying Peng, Junbo Liu, Wenqiang Li

Publication date: 26 September 2016

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

Full work available at URL: https://doi.org/10.1080/07362994.2016.1195747

zbMATH Keywords

reflectioncomparison theoremviscosity solutionsforward-backward stochastic differential equationsquasilinear parabolic PDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to PDEs (35D40) Quasilinear parabolic equations (35K59)

Related Items (2)

General coupled mean-field reflected forward-backward stochastic differential equations ⋮ A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems

Cites Work

• Adapted solution of a backward stochastic differential equation
• Forward-backward stochastic differential equations and their applications
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Reflected solutions of backward stochastic differential equations with continuous coefficient
• Backward stochastic differential equations with continuous coefficient
• Solution of forward-backward stochastic differential equations
• Stochastic differential games with reflection and related obstacle problems for Isaacs equations
• Reflected forward-backward stochastic differential equations with continuous monotone coefficients
• A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• User’s guide to viscosity solutions of second order partial differential equations
• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
• L^p-SOLUTIONS FOR REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

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