Asymptotics for FBSDES with Jumps and Connections with Partial Integral Differential Equations

DOI10.1007/978-3-319-32144-8_5zbMath1349.35388OpenAlexW2502747388MaRDI QIDQ2832852

André de Oliveira Gomes

Publication date: 15 November 2016

Published in: From Particle Systems to Partial Differential Equations III (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-32144-8_5

zbMATH Keywords

viscosity solutionslarge deviations principlesFBSDEs with jumpspartial-integral differential equations

Mathematics Subject Classification ID

Integro-partial differential equations (35R09)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Stochastic Lagrangian particle approach to fractal Navier-Stokes equations
• Adapted solution of a backward stochastic differential equation
• Variational representations for continuous time processes
• Blow up and regularity for fractal Burgers equation
• Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Navier-Stokes equations and forward-backward SDEs on the group of diffeomorphisms of a torus
• Fractal Burgers equations
• Forward-backward stochastic differential equations and their applications
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• On solutions of backward stochastic differential equations with jumps and applications
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Solution of forward-backward stochastic differential equations
• \(L^p\) estimates for fully coupled FBSDEs with jumps
• BSDE with jumps and non-Lipschitz coefficients: application to large deviations
• Large deviations of a forward backward stochastic differential equation.
• Backward stochastic differential equations and integral-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
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
• QUADRATIC FBSDE WITH GENERALIZED BURGERS' TYPE NONLINEARITIES, PERTURBATIONS AND LARGE DEVIATIONS
• A stochastic Lagrangian representation of the three‐dimensional incompressible Navier‐Stokes equations
• A PROBABILISTIC REPRESENTATION FOR THE VORTICITY OF A THREE-DIMENSIONAL VISCOUS FLUID AND FOR GENERAL SYSTEMS OF PARABOLIC EQUATIONS

This page was built for publication: Asymptotics for FBSDES with Jumps and Connections with Partial Integral Differential Equations