Stability and Markov property of forward backward minimal supersolutions

DOI10.1214/16-EJP4276zbMath1345.60049arXiv1503.00240OpenAlexW2962902115MaRDI QIDQ303553

Christoph Mainberger, Samuel Drapeau

Publication date: 22 August 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.00240

zbMATH Keywords

stabilityMarkov propertysupersolutionsforward-backward stochastic differential equationsviscosity supersolutions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to PDEs (35D40)

Related Items (4)

Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Characterization of fully coupled FBSDE in terms of portfolio optimization ⋮ On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration

This page was built for publication: Stability and Markov property of forward backward minimal supersolutions