RBSDE's with jumps and the related obstacle problems for integral-partial differential equa\-tions

DOI10.1007/S11425-006-0557-ZzbMath1106.60049OpenAlexW2046633681MaRDI QIDQ862702

Yu-lian Fan

Publication date: 24 January 2007

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-006-0557-z

zbMATH Keywords

viscosity solutionreflected backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integral equations (60H20)

Related Items (1)

Limit theorem and uniqueness theorem of backward stochastic differential equations

Cites Work

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• Adapted solution of a backward stochastic differential equation
• Stochastic differential equations of jump type and Lévy processes in diffeomorphisms group
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Reflected backward stochastic differential equation with jumps and random obstacle
• Backward stochastic differential equations and integral-partial differential equations
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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