Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2018.10.038
Abstract: Abstract In this paper, by virtue of Malliavin calculus, we establish a relationship between backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs, and thus extend the well-known nonlinear stochastic Feynman–Kac formula… read more here.
Keywords: stochastic differential; doubly stochastic; random coefficients; backward doubly ... See more keywords
Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes
Sign Up to like & getrecommendations! Published in 2020 at "International Journal of Control"
DOI: 10.1080/00207179.2018.1502473
Abstract: ABSTRACT In this paper, we introduce a new class of backward doubly stochastic differential equations (in short BDSDE) called mean-field backward doubly stochastic differential equations (in short MFBDSDE) driven by Itô-Lévy processes and study the… read more here.
Keywords: backward doubly; driven processes; mean field; doubly stochastic ... See more keywords
Comparison theorems for anticipated backward doubly stochastic differential equations with non-Lipschitz coefficients
Sign Up to like & getrecommendations! Published in 2020 at "Random Operators and Stochastic Equations"
DOI: 10.1515/rose-2020-2026
Abstract: Abstract In this work, we prove some comparison theorems of anticipated backward doubly stochastic differential equations with non-Lipschitz coefficients. read more here.
Keywords: anticipated backward; doubly stochastic; backward doubly; stochastic differential ... See more keywords
Anticipated Generalized Backward Doubly Stochastic Differential Equations
Sign Up to like & getrecommendations! Published in 2022 at "Symmetry"
DOI: 10.3390/sym14010114
Abstract: In this paper, we explore a new class of stochastic differential equations called anticipated generalized backward doubly stochastic differential equations (AGBDSDEs), which not only involve two symmetric integrals related to two independent Brownian motions and… read more here.
Keywords: backward doubly; doubly stochastic; stochastic differential; generalized backward ... See more keywords