IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v103y2003i1p31-55.html
   My bibliography  Save this article

A probabilistic interpretation of the divergence and BSDE's

Author

Listed:
  • Stoica, I. L.

Abstract

We prove a stochastic representation, similar to the Feynman-Kac formula, for solutions of parabolic equations involving a distribution expressed as divergence of a measurable field. This leads to an extension of the method of backward stochastic differential equations to a class of nonlinearities larger than the usual one.

Suggested Citation

  • Stoica, I. L., 2003. "A probabilistic interpretation of the divergence and BSDE's," Stochastic Processes and their Applications, Elsevier, vol. 103(1), pages 31-55, January.
    • Handle: RePEc:eee:spapps:v:103:y:2003:i:1:p:31-55
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(02)00179-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Rozkosz, Andrzej, 1996. "Stochastic representation of diffusions corresponding to divergence form operators," Stochastic Processes and their Applications, Elsevier, vol. 63(1), pages 11-33, October.
    2. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Matoussi, A. & Piozin, L. & Popier, A., 2017. "Stochastic partial differential equations with singular terminal condition," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 831-876.
    2. Liu, Xuan & Qian, Zhongmin, 2018. "Backward problems for stochastic differential equations on the Sierpinski gasket," Stochastic Processes and their Applications, Elsevier, vol. 128(10), pages 3387-3418.
    3. Lejay, Antoine, 2004. "A probabilistic representation of the solution of some quasi-linear PDE with a divergence form operator. Application to existence of weak solutions of FBSDE," Stochastic Processes and their Applications, Elsevier, vol. 110(1), pages 145-176, March.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bouchard Bruno & Tan Xiaolu & Warin Xavier & Zou Yiyi, 2017. "Numerical approximation of BSDEs using local polynomial drivers and branching processes," Monte Carlo Methods and Applications, De Gruyter, vol. 23(4), pages 241-263, December.
    2. Xavier Bardina & Maria Jolis, 2002. "Estimation of the Density of Hypoelliptic Diffusion Processes with Application to an Extended Itô's Formula," Journal of Theoretical Probability, Springer, vol. 15(1), pages 223-247, January.
    3. Fan, ShengJun, 2016. "Existence of solutions to one-dimensional BSDEs with semi-linear growth and general growth generators," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 7-15.
    4. Kupper, Michael & Luo, Peng & Tangpi, Ludovic, 2019. "Multidimensional Markovian FBSDEs with super-quadratic growth," Stochastic Processes and their Applications, Elsevier, vol. 129(3), pages 902-923.
    5. Mingyu Xu, 2007. "Reflected Backward SDEs with Two Barriers Under Monotonicity and General Increasing Conditions," Journal of Theoretical Probability, Springer, vol. 20(4), pages 1005-1039, December.
    6. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
    7. Luis Escauriaza & Daniel C. Schwarz & Hao Xing, 2020. "Radner equilibrium and systems of quadratic BSDEs with discontinuous generators," Papers 2008.03500, arXiv.org, revised May 2021.
    8. N'zi, Modeste & Owo, Jean-Marc, 2009. "Backward doubly stochastic differential equations with discontinuous coefficients," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 920-926, April.
    9. Chen, Zengjing & Kulperger, Reg, 2006. "Minimax pricing and Choquet pricing," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 518-528, June.
    10. Auguste Aman, 2012. "Reflected Generalized Backward Doubly SDEs Driven by Lévy Processes and Applications," Journal of Theoretical Probability, Springer, vol. 25(4), pages 1153-1172, December.
    11. Bandini, Elena & Fuhrman, Marco, 2017. "Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1441-1474.
    12. Jean-François Chassagneux & Romuald Elie & Idris Kharroubi, 2015. "When terminal facelift enforces delta constraints," Finance and Stochastics, Springer, vol. 19(2), pages 329-362, April.
    13. Hyndman, Cody Blaine, 2007. "Forward-backward SDEs and the CIR model," Statistics & Probability Letters, Elsevier, vol. 77(17), pages 1676-1682, November.
    14. Leitner Johannes, 2007. "Pricing and hedging with globally and instantaneously vanishing risk," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 311-332, October.
    15. Cao, Guilan & He, Kai, 2007. "Successive approximation of infinite dimensional semilinear backward stochastic evolution equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1251-1264, September.
    16. Reda Chhaibi & Ibrahim Ekren & Eunjung Noh & Lu Vy, 2022. "A unified approach to informed trading via Monge-Kantorovich duality," Papers 2210.17384, arXiv.org.
    17. Andrew Lesniewski & Anja Richter, 2016. "Managing counterparty credit risk via BSDEs," Papers 1608.03237, arXiv.org, revised Aug 2016.
    18. Fan, Xiliang & Ren, Yong & Zhu, Dongjin, 2010. "A note on the doubly reflected backward stochastic differential equations driven by a Lévy process," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 690-696, April.
    19. Bahlali, Khaled & Hamadène, SaI¨d & Mezerdi, Brahim, 2005. "Backward stochastic differential equations with two reflecting barriers and continuous with quadratic growth coefficient," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1107-1129, July.
    20. Kaitong Hu & Zhenjie Ren & Junjian Yang, 2019. "Principal-agent problem with multiple principals," Working Papers hal-02088486, HAL.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:103:y:2003:i:1:p:31-55. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.