Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

IMA Journal of Numerical Analysis ◽

10.1093/imanum/drl019 ◽

2007 ◽

Vol 27 (1) ◽

pp. 24-44 ◽

Author(s):

G. N. Milstein ◽

M. V. Tretyakov

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Backward Stochastic Differential Equations ◽

Linear Parabolic Equations

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Strong Solutions of Semilinear Parabolic Equations with Measure Data and Generalized Backward Stochastic Differential Equations

Potential Analysis ◽

10.1007/s11118-011-9235-z ◽

2011 ◽

Vol 36 (2) ◽

pp. 373-404 ◽

Author(s):

Tomasz Klimsiak

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Strong Solutions ◽

Backward Stochastic Differential Equations ◽

Measure Data ◽

Semilinear Parabolic Equations ◽

Semilinear Parabolic

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Numerical solution of quasilinear parabolic equations and backward stochastic differential equations

Russian Journal of Numerical Analysis and Mathematical Modelling ◽

10.1515/156939803770736015 ◽

2003 ◽

Vol 18 (5) ◽

Author(s):

R. N. Makarov

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Backward Stochastic Differential Equations ◽

Quasilinear Parabolic Equations ◽

Quasilinear Parabolic

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Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations

Applied Mathematics & Optimization ◽

10.1007/s00245-004-0814-x ◽

2005 ◽

Vol 51 (3) ◽

pp. 279-332 ◽

Author(s):

Marco Fuhrman ◽

Gianmario Tessitore

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Mild Solutions ◽

Backward Stochastic Differential Equations ◽

Semilinear Parabolic Equations ◽

Semilinear Parabolic

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Numerical solution of quasilinear parabolic equations and backward stochastic differential equations

Russian Journal of Numerical Analysis and Mathematical Modelling ◽

10.1515/rnam.2003.18.5.397 ◽

2003 ◽

Vol 18 (5) ◽

pp. 397-412 ◽

Author(s):

R. N. Makarov

Keyword(s):

Differential Equations ◽

Numerical Solution ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Backward Stochastic Differential Equations ◽

Quasilinear Parabolic Equations ◽

Quasilinear Parabolic

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Systems of quasilinear parabolic equations in Rn and systems of quadratic backward stochastic differential equations

Journal de Mathématiques Pures et Appliquées ◽

10.1016/j.matpur.2021.01.006 ◽

2021 ◽

Author(s):

Alain Bensoussan ◽

Jens Frehse ◽

Sheung Chi Phillip Yam

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Parabolic Equations ◽

Backward Stochastic Differential Equations ◽

Quasilinear Parabolic Equations ◽

Quasilinear Parabolic

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Mean-Field Backward Stochastic Differential Equations Driven by Fractional Brownian Motion

Acta Mathematica Sinica English Series ◽

10.1007/s10114-021-0002-9 ◽

2021 ◽

Vol 37 (7) ◽

pp. 1156-1170

Author(s):

Yu Feng Shi ◽

Jia Qiang Wen ◽

Jie Xiong

Keyword(s):

Brownian Motion ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Fractional Brownian Motion ◽

Backward Stochastic Differential Equations

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Mean-field backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients

Applicable Analysis ◽

10.1080/00036811.2021.1877686 ◽

2021 ◽

pp. 1-23

Author(s):

Shengqiu Sun

Keyword(s):

Brownian Motion ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations ◽

Uniformly Continuous

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An efficient numerical method for forward-backward stochastic differential equations driven by G-Brownian motion

Applied Numerical Mathematics ◽

10.1016/j.apnum.2021.03.012 ◽

2021 ◽

Vol 165 ◽

pp. 578-597

Author(s):

Mingshang Hu ◽

Lianzi Jiang

Keyword(s):

Brownian Motion ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Numerical Method ◽

Backward Stochastic Differential Equations

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On optimal control of forward–backward stochastic differential equations

Afrika Matematika ◽

10.1007/s13370-017-0504-x ◽

2017 ◽

Vol 28 (7-8) ◽

pp. 1075-1092

Author(s):

F. Baghery ◽

N. Khelfallah ◽

B. Mezerdi ◽

I. Turpin

Keyword(s):

Optimal Control ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations

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On Reflected Backward Stochastic Differential Equations

Calcutta Statistical Association Bulletin ◽

10.1177/0008068320020513 ◽

2002 ◽

Vol 52 (1-4) ◽

pp. 251-260

Author(s):

S. Ramasubramanian

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Backward Stochastic Differential Equations

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