About: Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients

Documentation

scienceplus.abes.fr version Bêta

scienceplus.abes.fr | explorer

À propos de : Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients Goto Sponge NotDistinct Permalink

Attributs	Valeurs
type	work Article
Is Part Of	http://hub.abes.fr/edp/periodical/ps/2006/volume_10/issue_2006/w
Subject	Stochastic ordinary differential equations Applications of stochastic analysis (to PDE, etc.) partial differential equations. Forward-backward stochastic differential equations
Title	Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
Date	2006-01-01(xsd:dateTime)
has manifestation of work	http://hub.abes.fr/edp/periodical/ps/2006/volume_10/issue_2006/ps0418/m/web http://hub.abes.fr/edp/periodical/ps/2006/volume_10/issue_2006/ps0418/m/print
related by	http://hub.abes.fr/edp/periodical/ps/2006/volume_10/issue_2006/ps0418/authorship/2 http://hub.abes.fr/edp/periodical/ps/2006/volume_10/issue_2006/ps0418/authorship/1
Author	Riviere, Olivier Abraham, Romain
Abstract	We consider a system of fully coupled forward-backward stochastic differential equations. First we generalize the results of Pardoux-Tang [7] concerning the regularity of the solutions with respect to initial conditions. Then, we prove that in some particular cases this system leads to a probabilistic representation of solutions of a second-order PDE whose second order coefficients depend on the gradient of the solution. We then give some examples in dimension 1 and dimension 2 for which the assumptions are easy to check.
article type	research-article
publisher identifier	ps0418
Date Copyrighted	2006-01-01(xsd:dateTime)
Rights	© EDP Sciences, SMAI, 2006
Rights Holder	EDP Sciences, SMAI
is part of this journal	ESAIM: Probability and Statistics
is primary topic of	http://hub.abes.fr/edp/periodical/ps/2006/volume_10/issue_2006/ps0418/w/record

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata