Limit theorems for BSDE with local time applications to non-linear PDE

DOI10.1080/10451120212870zbMath1011.60043OpenAlexW2090133666MaRDI QIDQ3148778

Youssef Ouknine, M'hamed Eddahbi

Publication date: 2 June 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120212870

zbMATH Keywords

comparison theoremlocal timebackward stochastic differential equationsingular partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (3)

Solvability of some quadratic BSDEs without exponential moments ⋮ Quadratic BSDEs with jumps and related PIDEs ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Zero-sum stochastic differential games and backward equations
• Stochastic differential equations with singular drift
• Backward stochastic differential equations with continuous coefficient
• Backward-forward SDE's and stochastic differential games
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Constructing gamma-martingales with prescribed limit, using backwards SDE
• Linear Quadratic Optimal Stochastic Control with Random Coefficients
• Backward stochastic differential equation with local time
• Résultats d'existence et d'unicité pour des équations différentielles stochastiques rétrogrades avec des générateurs à croissance quadratique
• Backward Stochastic Differential Equations in Finance
• Existence for BSDE with superlinear–quadratic coefficient
• Backward equations, stochastic control and zero-sum stochastic differential games

This page was built for publication: Limit theorems for BSDE with local time applications to non-linear PDE