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ArticleWeak Solutions for SPDEs and Backward Doubly Stochastic Differential Equations

Vlad Bally2001

Article2001

Weak Solutions for SPDEs and Backward Doubly Stochastic Differential Equations

Vlad Bally · Anis Matoussi

132 citations·0/0 files stored·Journal of Theoretical Probability

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Differential Equations and Boundary Problems

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References

2005Stochastic Integration and Differential Equations 1983Stochastic Differential Equations and Diffusion Processes 1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1998Stochastic Flows and Stochastic Differential Equations 2014Stochastic Integration and Differential Equations : A New Approach 1994Backward doubly stochastic differential equations and systems of quasilinear SPDEs

Cited by

2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications 2018A class of globally solvable Markovian quadratic BSDE systems and applications 2007Stationary solutions of SPDEs and infinite horizon BDSDEs 2010Solving BSDE with Adaptive Control Variate 2008Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes 2005Backward Stochastic Differential Equations Associated to a Symmetric Markov Process

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Year2001

Typearticle

Published2001-01-01

VenueJournal of Theoretical Probability

ISSN-L0894-9840

Languageen

Citations132

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1007825232513

openalex_workW1594807328

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2010

About the Pricing Equations in Finance

2005Generalized Directional Gradients, Backward Stochastic Differential Equations and Mild Solutions of Semilinear Parabolic Equations