On backward stochastic differential equations
From MaRDI portal
Publication:3316328
DOI10.1080/17442508208833209zbMath0533.60073OpenAlexW1981566962MaRDI QIDQ3316328
Publication date: 1982
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508208833209
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic integral equations (60H20)
Related Items
Forward, backward and symmetric stochastic integration, Backward representation for nonstationary Markov processes with finite state space, Stochastic transport equation with bounded and Dini continuous drift, Generalized stochastic integrals and the Malliavin calculus, The Burgers equations and the Born rule, Stochastic calculus with anticipating integrands, Lyapunov exponents and relative entropy for a stochastic flow of diffeomorphisms, Weighted stochastic Sobolev spaces and bilinear SPDEs driven by space-time white noise, A relatively short proof of Itô's formula for SPDEs and its applications, Direct solutions of Kolmogorov's equations by stochastic flows, Stochastic differential equations and stochastic flows of diffeomorphisms, Revisit of macroscopic dynamics for some non-equilibrium chemical reactions from a Hamiltonian viewpoint, Stochastically symplectic maps and their applications to the Navier-Stokes equation, Stochastic Lagrangian perturbation of Lie transport and applications to fluids, Backward and forward filtering under the weak Hörmander condition, Densities of a measure-valued process governed by a stochastic partial differential equation, Flows of stochastic dynamical systems: ergodic theory, Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions, Flows of stochastic dynamical systems: The functional analytic approach, The Stochastic Characteristics Method Applied to a Stochastic Schrödinger Equation, HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS, Martingale Representation and Admissible Portfolio Process with Regime Switching, Extremal exponents of random dynamical systems do not vanish, Reversing gaussian semimartingales without gauss†, A Note on Differentiability in a Markov Chain Market Using Stochastic Flows, Enlarged filtrations for diffusions, Backward Nonlinear Smoothing Diffusions, Reverse time diffusions, Forward and backward semimartingale models for gaussian processes with stationary increments, Stochastic flows and the C0-diffusion property, Asymptotic behaviour of stochastic flows of diffeomorphisms: Two case studies
Cites Work
