Wong-Zakai approximations of backward doubly stochastic differential equations
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Publication:744969
DOI10.1016/j.spa.2015.07.003zbMath1325.60089arXiv1408.0569OpenAlexW51810813MaRDI QIDQ744969
Anis Matoussi, Ying Hu, Tu-Sheng Zhang
Publication date: 12 October 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.0569
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
Related Items (6)
Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs ⋮ Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients ⋮ A support theorem for stochastic differential equations driven by a fractional Brownian motion ⋮ On approximations for reflected SDEs and SPDEs with Neumann boundary conditions ⋮ Unnamed Item ⋮ Wong-Zakai approximations and support theorems for stochastic McKean-Vlasov equations
Cites Work
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- An approximation scheme for reflected stochastic differential equations
- Adapted solution of a backward stochastic differential equation
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- Sobolev solution for semilinear PDE with obstacle under monotonicity condition
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- On the relation between ordinary and stochastic differential equations
- Wong-Zakai approximation of solutions to reflecting stochastic differential equations on domains in Euclidean spaces
- The obstacle problem for quasilinear stochastic PDEs: analytical approach
- On the Convergence of Ordinary Integrals to Stochastic Integrals
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