Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time

DOI10.1142/S0219493717500307zbMath1367.60086arXiv1407.3218MaRDI QIDQ5268389

Lukas Wurzer, Francesco Russo

Publication date: 20 June 2017

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.3218

zbMATH Keywords

backward stochastic differential equationsmartingale problemrandom terminal timesemilinear elliptic partial differential equationsdistributional drift

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Semilinear elliptic equations (35J61)

Related Items (6)

Special weak Dirichlet processes and BSDEs driven by a random measure ⋮ A framework of BSDEs with stochastic Lipschitz coefficients ⋮ Martingale driven BSDEs, PDEs and other related deterministic problems ⋮ A Feynman-Kac result via Markov BSDEs with generalised drivers ⋮ Forward-backward SDEs with distributional coefficients ⋮ Backward stochastic differential equations with no driving martingale, Markov processes and associated pseudo-partial differential equations. II: Decoupled mild solutions and examples

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
• BSDEs under partial information and financial applications
• The limits of Sinai's simple random walk in random environment
• Forward, backward and symmetric stochastic integration
• Zero white noise limit through Dirichlet forms, with application to diffusions in a random medium
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Brownian motion with singular drift
• Some SDEs with distributional drift. I: General calculus
• On the robustness of backward stochastic differential equations.
• An introduction to nonlinear boundary value problems
• Limit theorems for diffusions with a random potential
• Some parabolic PDEs whose drift is an irregular random noise in space
• Multidimensional diffusion processes.
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• Les processus de dirichlet et tant qu'espace de banach
• Elements of Stochastic Calculus via Regularization
• Multidimensional stochastic differential equations with distributional drift
• Stochastic differential equations for Dirichlet processes

This page was built for publication: Elliptic PDEs with distributional drift and backward SDEs driven by a càdlàg martingale with random terminal time