Add to ORKGAbstract. We consider a system of fully coupled forward-backward stochastic differential equations. First we generalize the results of Pardoux-Tang [6] 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
AbstractIn this paper we prove the existence and uniqueness, as well as the regularity, of the adapt...
In this paper, by a probabilistic approach we prove that there exists a unique viscosity solution to...
This paper is devoted to real valued backward stochastic differential equations (BSDEs for short) wi...
International audienceThis research monograph presents results to researchers in stochastic calculus...
In the probability literature, backward stochastic differential equations (BSDE) received considerab...
This thesis deals with the forward backward stochastic differential equations, in particular those w...
This doctoral thesis is concerned with some theoretical and practical questions related to backward ...
This work shows the existence and uniqueness of the solution of Backward stochastic differential equ...
In this paper we study the homeomorphic properties of the solutions to one dimensional backward stoc...
Tese de mestrado em Matemática, apresentada à Universidade de Lisboa, através da Faculdade de Ciênci...
AbstractIn this paper we study the homeomorphic properties of the solutions to one dimensional backw...
We establish a stochastic representation formula for solutions to fully nonlinear second-order parti...
Backward stochastic differential equations extend the martingale representation theorem to the nonli...
In this paper we investigate the well-posedness of backward or forward stochastic differential equat...
We consider a second order semi-elliptic differential operator L with measurable coefficients, in di...
AbstractIn this paper we prove the existence and uniqueness, as well as the regularity, of the adapt...
In this paper, by a probabilistic approach we prove that there exists a unique viscosity solution to...
This paper is devoted to real valued backward stochastic differential equations (BSDEs for short) wi...
International audienceThis research monograph presents results to researchers in stochastic calculus...
In the probability literature, backward stochastic differential equations (BSDE) received considerab...
This thesis deals with the forward backward stochastic differential equations, in particular those w...
This doctoral thesis is concerned with some theoretical and practical questions related to backward ...
This work shows the existence and uniqueness of the solution of Backward stochastic differential equ...
In this paper we study the homeomorphic properties of the solutions to one dimensional backward stoc...
Tese de mestrado em Matemática, apresentada à Universidade de Lisboa, através da Faculdade de Ciênci...
AbstractIn this paper we study the homeomorphic properties of the solutions to one dimensional backw...
We establish a stochastic representation formula for solutions to fully nonlinear second-order parti...
Backward stochastic differential equations extend the martingale representation theorem to the nonli...
In this paper we investigate the well-posedness of backward or forward stochastic differential equat...
We consider a second order semi-elliptic differential operator L with measurable coefficients, in di...
AbstractIn this paper we prove the existence and uniqueness, as well as the regularity, of the adapt...
In this paper, by a probabilistic approach we prove that there exists a unique viscosity solution to...
This paper is devoted to real valued backward stochastic differential equations (BSDEs for short) wi...