Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part I
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- Buckdahn, Rainer & Ma, Jin, 2001. "Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part II," Stochastic Processes and their Applications, Elsevier, vol. 93(2), pages 205-228, June.
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- Hu, Yaozhong & Li, Juan & Mi, Chao, 2023. "BSDEs generated by fractional space-time noise and related SPDEs," Applied Mathematics and Computation, Elsevier, vol. 450(C).
- Neeraj Bhauryal & Ana Bela Cruzeiro & Carlos Oliveira, 2024. "Pathwise Stochastic Control and a Class of Stochastic Partial Differential Equations," Journal of Optimization Theory and Applications, Springer, vol. 203(2), pages 1967-1990, November.
- Marcel Nutz, 2011. "A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations," Papers 1106.3273, arXiv.org, revised May 2012.
- Francesco, MENONCIN, 2002. "Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution," LIDAM Discussion Papers IRES 2002033, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Matoussi, Anis & Sabbagh, Wissal & Zhang, Tusheng, 2017. "Backward doubly SDEs and semilinear stochastic PDEs in a convex domain," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2781-2815.
- 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.
- Aman, Auguste & Mrhardy, Naoul, 2013. "Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 863-874.
- Keller, Christian & Zhang, Jianfeng, 2016. "Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients," Stochastic Processes and their Applications, Elsevier, vol. 126(3), pages 735-766.
- Francesco, MENONCIN, 2002. "Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution," LIDAM Discussion Papers IRES 2002034, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Matoussi Anis & Sabbagh Wissal, 2016. "Numerical computation for backward doubly SDEs with random terminal time," Monte Carlo Methods and Applications, De Gruyter, vol. 22(3), pages 229-258, September.
- Xanthi-Isidora Kartala & Nikolaos Englezos & Athanasios N. Yannacopoulos, 2020. "Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions," Mathematics of Operations Research, INFORMS, vol. 45(2), pages 403-433, May.
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- Keller, Christian & Zhang, Jianfeng, 2016. "Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients," Stochastic Processes and their Applications, Elsevier, vol. 126(3), pages 735-766.
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Keywords
Stochastic partial differential equations Viscosity solutions Doss-Sussmann transformation Backward/backward doubly stochastic differential equations;Statistics
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