Stochastic viscosity solutions for stochastic integral-partial differential equations

DOI10.1063/5.0019229zbMath1460.35072OpenAlexW3126250408WikidataQ115327879 ScholiaQ115327879MaRDI QIDQ5855645

Jin-biao Wu

Publication date: 19 March 2021

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/5.0019229

zbMATH Keywords

nonlinear Neumann boundary conditionsgeneralized backward doubly stochastic differential equationssemilinear SIPDEs

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to PDEs (35D40) Integro-partial differential equations (35R09)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Adapted solution of a backward stochastic differential equation
• Reflected diffusion processes with jumps
• Stochastic calculus with anticipating integrands
• On the gap between deterministic and stochastic ordinary differential equations
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Generalized BSDEs and nonlinear Neumann boundary value problems
• Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
• Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
• Vanishing viscosity solutions of nonlinear hyperbolic systems
• Generalized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions
• Controlled Markov processes and viscosity solutions
• Backward stochastic differential equations and integral-partial differential equations
• Stochastic differential equations with reflecting boundary conditions
• Viscosity Solutions of Hamilton-Jacobi Equations
• User’s guide to viscosity solutions of second order partial differential equations
• Fully nonlinear stochastic partial differential equations
• Fully nonlinear stochastic partial differential equations: non-smooth equations and applications
• Backward Stochastic Differential Equations in Finance
• Fully nonlinear stochastic pde with semilinear stochastic dependence
• Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations
• Martingale Representation of Functionals of Lévy Processes
• Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients

This page was built for publication: Stochastic viscosity solutions for stochastic integral-partial differential equations