Lü, Qi; Wang, Penghui; Wang, Yanqing; Zhang, Xu Numerics for stochastic distributed parameter control systems: a finite transposition method. (English) Zbl 07573587 Trélat, Emmanuel (ed.) et al., Numerical control. Part A. Amsterdam: Elsevier/North Holland. Handb. Numer. Anal. 23, 201-232 (2022). MSC: 65-XX 60H15 65M60 PDFBibTeX XMLCite \textit{Q. Lü} et al., Handb. Numer. Anal. 23, 201--232 (2022; Zbl 07573587) Full Text: arXiv Link
Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco McKean Feynman-Kac probabilistic representations of non-linear partial differential equations. (English) Zbl 1499.60189 Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 187-212 (2021). MSC: 60H10 60H30 60J60 65C05 65C35 35K58 PDFBibTeX XMLCite \textit{L. Izydorczyk} et al., Springer Proc. Math. Stat. 378, 187--212 (2021; Zbl 1499.60189) Full Text: DOI arXiv
Wang, Xiaoli; He, Jinchun; Xu, Haoyuan; Yang, Meihua Optimal control for the nonlocal backward heat equation. (English) Zbl 1500.49013 Chen, Xiaopeng (ed.) et al., Stochastic PDEs and modelling of multiscale complex system. Hackensack, NJ: World Scientific. Interdiscip. Math. Sci. 20, 81-96 (2019). MSC: 49K40 49K20 60H15 93E20 PDFBibTeX XMLCite \textit{X. Wang} et al., Interdiscip. Math. Sci. 20, 81--96 (2019; Zbl 1500.49013) Full Text: DOI
Anton, Cristina Error expansion for a symplectic scheme for stochastic Hamiltonian systems. (English) Zbl 1416.65508 Kilgour, D. Marc (ed.) et al., Recent advances in mathematical and statistical methods. IV AMMCS international conference, Waterloo, Canada, August 20–25, 2017. Cham: Springer. Springer Proc. Math. Stat. 259, 567-577 (2018). MSC: 65P10 37M15 65C30 60H35 60H15 65G99 PDFBibTeX XMLCite \textit{C. Anton}, Springer Proc. Math. Stat. 259, 567--577 (2018; Zbl 1416.65508) Full Text: DOI
Al-Hussein, Abdulrahman; Gherbal, Boulakhras Sufficient conditions of optimality for forward-backward doubly SDEs with jumps. (English) Zbl 1403.93193 Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer (ISBN 978-3-319-30416-8/hbk; 978-3-319-30417-5/ebook). Springer Proceedings in Mathematics & Statistics 158, 173-191 (2016). MSC: 93E20 49K45 60H10 60J75 PDFBibTeX XMLCite \textit{A. Al-Hussein} and \textit{B. Gherbal}, Springer Proc. Math. Stat. 158, 173--191 (2016; Zbl 1403.93193) Full Text: DOI
Al-Hussein, Abdulrahman Necessary and sufficient conditions of optimal control for infinite dimensional SDEs. (Necessary and sufficient conditions of optimalcontrol for infinite dimensional SDEs.) (English) Zbl 1403.93192 Eddahbi, M’hamed (ed.) et al., Statistical methods and applications in insurance and finance. CIMPA school, Marrakech and Kelaat M’gouna, Morocco, April 8–20, 2013. Cham: Springer (ISBN 978-3-319-30416-8/hbk; 978-3-319-30417-5/ebook). Springer Proceedings in Mathematics & Statistics 158, 149-171 (2016). MSC: 93E20 49K45 60H10 60G44 93C25 PDFBibTeX XMLCite \textit{A. Al-Hussein}, Springer Proc. Math. Stat. 158, 149--171 (2016; Zbl 1403.93192) Full Text: DOI arXiv
Øksendal, Bernt; Sulem, Agnès; Zhang, Tusheng A stochastic HJB equation for optimal control of forward-backward SDEs. (English) Zbl 1354.60061 Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 435-446 (2016). MSC: 60H10 49K45 49L25 91G10 93E20 PDFBibTeX XMLCite \textit{B. Øksendal} et al., in: The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer. 435--446 (2016; Zbl 1354.60061) Full Text: DOI arXiv
Al-Hussein, Abdulrahman; Gherbal, Boulakhras Stochastic maximum principle for Hilbert space valued forward-backward doubly SDEs with Poisson jumps. (English) Zbl 1325.60084 Pötzsche, Christian (ed.) et al., System modeling and optimization. 26th IFIP TC 7 conference, CSMO 2013, Klagenfurt, Austria, September 9–13, 2013. Revised selected papers. Heidelberg: Springer (ISBN 978-3-662-45503-6/hbk; 978-3-662-45504-3/ebook). IFIP Advances in Information and Communication Technology 443, 1-10 (2014). MSC: 60H10 60H15 93E20 60G57 60G55 PDFBibTeX XMLCite \textit{A. Al-Hussein} and \textit{B. Gherbal}, IFIP Adv. Inf. Commun. Technol. 443, 1--10 (2014; Zbl 1325.60084) Full Text: DOI arXiv
Achdou, Yves Finite difference methods for mean field games. (English) Zbl 1271.65120 Loreti, Paola (ed.) et al., Hamilton-Jacobi equations: approximations, numerical analysis and applications. Based on the lectures of the CIME summer school, Cetraro, Italy, August 29–September 3, 2011. Berlin: Springer; Florence: Fondazione CIME (ISBN 978-3-642-36432-7/pbk; 978-3-642-36433-4/ebook). Lecture Notes in Mathematics 2074. CIME Foundation Subseries, 1-47 (2013). MSC: 65M06 35R60 35F21 65C30 60H15 60H35 65M12 65M15 PDFBibTeX XMLCite \textit{Y. Achdou}, Lect. Notes Math. 2074, 1--47 (2013; Zbl 1271.65120) Full Text: DOI
Hu, Yaozhong; Ocone, Daniel; Song, Jian Some results on backward stochastic differential equations driven by fractional Brownian motions. (English) Zbl 1276.60062 Zhang, Tusheng (ed.) et al., Stochastic analysis and applications to finance. Essays in honour of Jia-an Yan on the occasion of his 70th years birthday. Hackensack, NJ: World Scientific (ISBN 978-981-4383-57-8/hbk). Interdisciplinary Mathematical Sciences 13, 225-242 (2012). MSC: 60H10 60G22 PDFBibTeX XMLCite \textit{Y. Hu} et al., Interdiscip. Math. Sci. 13, 225--242 (2012; Zbl 1276.60062)
Fromm, Alexander; Imkeller, Peter; Zhang, Jianing Existence and stability of measure solutions for BSDE with generators of quadratic growth. (English) Zbl 1282.60066 Zhang, Tusheng (ed.) et al., Stochastic analysis and applications to finance. Essays in honour of Jia-an Yan on the occasion of his 70th years birthday. Hackensack, NJ: World Scientific (ISBN 978-981-4383-57-8/hbk). Interdisciplinary Mathematical Sciences 13, 137-168 (2012). Reviewer: Stanisław Wedrychowicz (Rzeszów) MSC: 60H30 60G44 58E25 60G48 60H20 93E20 60H07 PDFBibTeX XMLCite \textit{A. Fromm} et al., Interdiscip. Math. Sci. 13, 137--168 (2012; Zbl 1282.60066) Full Text: arXiv
Cruzeiro, Ana Bela; Shamarova, Evelina On a forward-backward stochastic system associated to the Burgers equation. (English) Zbl 1250.65012 Kohatsu-Higa, Arturo (ed.) et al., Stochastic analysis with financial applications, Hong Kong 2009. Proceedings of the workshop, Hong Kong, China, June 29 to July 3, 2009. New York, NY: Springer (ISBN 978-3-0348-0096-9/hbk; 978-3-0348-0097-6/ebook). Progress in Probability 65, 43-59 (2011). MSC: 65C30 60H15 35Q53 60H35 35R60 PDFBibTeX XMLCite \textit{A. B. Cruzeiro} and \textit{E. Shamarova}, Prog. Probab. 65, 43--59 (2011; Zbl 1250.65012) Full Text: DOI arXiv
Peng, Shige Backward stochastic differential equation, nonlinear expectation and their applications. (English) Zbl 1233.60031 Bhatia, Rajendra (ed.) et al., Proceedings of the international congress of mathematicians (ICM 2010), Hyderabad, India, August 19–27, 2010. Vol. I: Plenary lectures and ceremonies. Hackensack, NJ: World Scientific; New Delhi: Hindustan Book Agency (ISBN 978-981-4324-30-4/set; 978-81-85931-08-3/hbk; 978-981-4324-31-1/hbk; 978-981-4324-35-9/ebook). 393-432 (2011). Reviewer: H. M. Mai (Berlin) MSC: 60H10 35K55 35R60 PDFBibTeX XMLCite \textit{S. Peng}, in: Proceedings of the international congress of mathematicians (ICM 2010), Hyderabad, India, August 19--27, 2010. Vol. I: Plenary lectures and ceremonies. Hackensack, NJ: World Scientific; New Delhi: Hindustan Book Agency. 393--432 (2011; Zbl 1233.60031) Full Text: Link
Chen, Lifeng; Peng, Shige Report on testing and finding the generating functions \(g\) of an option pricing mechanism through market data. (English) Zbl 1187.91209 Li, Tatsien (ed.) et al., Industrial and applied mathematics in China. Based in part on the 9th annual conference of the China Society for Industrial and Applied Mathematics, August 14–18, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-283-875-9/hbk). Series in Contemporary Applied Mathematics CAM 10, 79-100 (2009). MSC: 91G20 60H30 91G60 65C30 91G70 62P05 PDFBibTeX XMLCite \textit{L. Chen} and \textit{S. Peng}, Ser. Contemp. Appl. Math. CAM 10, 79--100 (2009; Zbl 1187.91209)
Fuhrman, Marco; Hu, Ying; Tessitore, Gianmario Stochastic control and BSDEs with quadratic growth. (English) Zbl 1192.93128 Tang, Shanjian (ed.) et al., Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3–5, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-582-2/hbk). 80-86 (2007). MSC: 93E20 49J55 60H10 93B52 PDFBibTeX XMLCite \textit{M. Fuhrman} et al., in: Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3--5, 2005. Hackensack, NJ: World Scientific. 80--86 (2007; Zbl 1192.93128)
Chen, Zengjing; Davison, Matt; Reesor, Mark; Zhang, Ying An additivity of maximum expectations and its applications. (English) Zbl 1195.91173 Tang, Shanjian (ed.) et al., Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3–5, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-582-2/hbk). 67-79 (2007). MSC: 91G60 60H07 91G20 91B25 65C30 PDFBibTeX XMLCite \textit{Z. Chen} et al., in: Control theory and related topics. In memory of Professor Xunjing Li, Fudan, China, June 3--5, 2005. Hackensack, NJ: World Scientific. 67--79 (2007; Zbl 1195.91173)
Maticiuc, Lucian; Răşcanu, Aurel Backward stochastic generalized variational inequality. (English) Zbl 1168.60023 Cârjă, Ovidiu (ed.) et al., Applied analysis and differential equations. Selected papers from the international conference, “Al. I. Cuza” University of Iaşi, Iaşi, Romania, September 4–9, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-270-594-5/hbk). 217-226 (2007). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60H15 35K85 PDFBibTeX XMLCite \textit{L. Maticiuc} and \textit{A. Răşcanu}, in: Applied analysis and differential equations. Selected papers from the international conference, ``Al. I. Cuza'' University of Iaşi, Iaşi, Romania, September 4--9, 2006. Hackensack, NJ: World Scientific. 217--226 (2007; Zbl 1168.60023)
Goreac, Dan Approximate controllability for linear stochastic differential equations with control acting on the noise. (English) Zbl 1156.93010 Cârjă, Ovidiu (ed.) et al., Applied analysis and differential equations. Selected papers from the international conference, “Al. I. Cuza” University of Iaşi, Iaşi, Romania, September 4–9, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-270-594-5/hbk). 153-164 (2007). MSC: 93B05 93E03 93C05 PDFBibTeX XMLCite \textit{D. Goreac}, in: Applied analysis and differential equations. Selected papers from the international conference, ``Al. I. Cuza'' University of Iaşi, Iaşi, Romania, September 4--9, 2006. Hackensack, NJ: World Scientific. 153--164 (2007; Zbl 1156.93010)
Rong, Situ BSDEs with jumps and with quadratic growth coefficients and optimal consumption. (English) Zbl 1147.60039 Chuong, N.M. (ed.) et al., Harmonic, wavelet and \(p\)-adic analysis. Based on the summer school, Quy Nhon, Vietnam, June 10–15, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-549-5/hbk). 343-361 (2007). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 91G80 60J75 PDFBibTeX XMLCite \textit{S. Rong}, in: Harmonic, wavelet and \(p\)-adic analysis. Based on the summer school, Quy Nhon, Vietnam, June 10--15, 2005. Hackensack, NJ: World Scientific. 343--361 (2007; Zbl 1147.60039) Full Text: Link
Al-Hussein, Abdul Rahman Backward stochastic differential equations with respect to martingales. (English) Zbl 1132.60048 Cruzeiro, Ana Bela (ed.) et al., Mathematical analysis of random phenomena. Proceedings of the international conference, Hammamet, Tunisia, September 12–17, 2005. Hackensack, NJ: World Scientific (ISBN 978-981-270-603-4/hbk). 31-44 (2007). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 PDFBibTeX XMLCite \textit{A. R. Al-Hussein}, in: Mathematical analysis of random phenomena. Proceedings of the international conference, Hammamet, Tunisia, September 12--17, 2005. Hackensack, NJ: World Scientific. 31--44 (2007; Zbl 1132.60048)
Mania, Michael; Tevzadze, Revaz A martingale equation of exponential type. (English) Zbl 1101.60049 Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk). 507-516 (2006). MSC: 60H30 91B28 PDFBibTeX XMLCite \textit{M. Mania} and \textit{R. Tevzadze}, in: From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Almost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9--15, 2005. Berlin: Springer. 507--516 (2006; Zbl 1101.60049)
Kabanov, Yuri; Kijima, Masaaki A consumption-investment problem with production possibilities. (English) Zbl 1251.60056 Kabanov, Yuri (ed.) et al., From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Allmost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9–15, 2005. Berlin: Springer (ISBN 3-540-30782-6/hbk; 978-3-642-06803-4/pbk; 978-3-540-30788-4/ebook). 315-332 (2006). MSC: 60H30 60H10 91G10 91B62 91B70 PDFBibTeX XMLCite \textit{Y. Kabanov} and \textit{M. Kijima}, in: From stochastic calculus to mathematical finance. The Shiryaev Festschrift. Almost all papers based on the presentation at the second Bachelier colloquium on stochastic calculus and probability, Meatbief, France, January 9--15, 2005. Berlin: Springer. 315--332 (2006; Zbl 1251.60056) Full Text: DOI
Yong, Jiongmin Some problems related to the Black-Scholes type security markets. (English) Zbl 1322.91055 Akahori, Jiro (ed.) et al., Stochastic processes and applications to mathematical finance. Proceedings of the Ritsumeikan international symposium, Kusatsu, Shiga, Japan, March 5–9, 2003. River Edge, NJ: World Scientific (ISBN 981-238-778-1/hbk). 369-400 (2004). MSC: 91G20 60H10 60H30 PDFBibTeX XMLCite \textit{J. Yong}, in: Stochastic processes and applications to mathematical finance. Proceedings of the Ritsumeikan international symposium, Kusatsu, Shiga, Japan, March 5--9, 2003. River Edge, NJ: World Scientific. 369--400 (2004; Zbl 1322.91055) Full Text: DOI
Sekine, Jun An approximation for exponential hedging. (English) Zbl 1059.60077 Kunita, Hiroshi (ed.) et al., Stochastic analysis and related topics in Kyoto. In honour of Kiyoshi Itô. Lectures given at the conference, Kyoto, Japan, September 4–7, 2002. Tokyo: Mathematical Society of Japan (ISBN 4-931469-26-4/hbk). Advanced Studies in Pure Mathematics 41, 279-299 (2004). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H30 60H10 91B28 PDFBibTeX XMLCite \textit{J. Sekine}, Adv. Stud. Pure Math. 41, 279--299 (2004; Zbl 1059.60077)
Delarue, François Estimates of the solutions of a system of quasi-linear PDEs. A probabilistic scheme. (English) Zbl 1055.35029 Azéma, J. (ed.) et al., 37th seminar on probability. Berlin: Springer (ISBN 3-540-20520-9/pbk). Lect. Notes Math. 1832, 290-332 (2003). Reviewer: Kazuaki Taira (Tsukuba) MSC: 35B45 35K55 60H15 PDFBibTeX XMLCite \textit{F. Delarue}, Lect. Notes Math. 1832, 290--332 (2003; Zbl 1055.35029)
Cerrai, S. Classical solutions for Kolmogorov equations in Hilbert spaces. (English) Zbl 1050.35131 Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications III. Proceedings of the 3rd seminar, Ascona, Switzerland, September 20–24, 1999. Basel: Birkhäuser (ISBN 3-7643-6721-0/hbk). Prog. Probab. 52, 55-71 (2002). Reviewer: Andrzej Palczewski (Warszawa) MSC: 35R15 60H15 47F05 35K15 35J15 PDFBibTeX XMLCite \textit{S. Cerrai}, Prog. Probab. 52, 55--71 (2002; Zbl 1050.35131)
Chen, Zengjing; Wang, Xiangrong Comonotonicity of backward stochastic differential equations. (English) Zbl 1013.60038 Yong, Jiongmin (ed.), Recent developments in mathematical finance. Proceedings of the international conference on mathematical finance, Shanghai, China, May 10-13, 2001. Singapore: World Scientific. 28-38 (2002). MSC: 60H10 60H15 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{X. Wang}, in: Recent developments in mathematical finance. Proceedings of the international conference on mathematical finance, Shanghai, China, May 10--13, 2001. Singapore: World Scientific. 28--38 (2002; Zbl 1013.60038)
Chen, Shuping; Yong, Jiongmin Solvability of a stochastic linear quadratic optimal control problem. (English) Zbl 1018.93033 Chan, Raymond (ed.) et al., Applied probability. Proceedings of an IMS workshop, Institute of Mathematical Sciences at the Chinese Univ. of Hong Kong, China. Providence, RI: AMS, American Mathematical Society/ IP, International Press. AMS/IP Stud. Adv. Math. 26, 35-43 (2002). Reviewer: Ryszard Gessing (Gliwice) MSC: 93E20 49K45 49N10 PDFBibTeX XMLCite \textit{S. Chen} and \textit{J. Yong}, AMS/IP Stud. Adv. Math. 26, 35--43 (2002; Zbl 1018.93033)
Barbu, Viorel; Tessitore, Gianmario Considerations on the controllability of stochastic linear heat equations. (English) Zbl 1030.93005 Da Prato, Giuseppe (ed.) et al., Stochastic partial differential equations and applications. New York, NY: Marcel Dekker. Lect. Notes Pure Appl. Math. 227, 39-51 (2002). Reviewer: M.Nisio (Osaka) MSC: 93B05 60H15 PDFBibTeX XMLCite \textit{V. Barbu} and \textit{G. Tessitore}, Lect. Notes Pure Appl. Math. 227, 39--51 (2002; Zbl 1030.93005)
Peisl, Bernhard Riccati equation and viscosity solutions in mean variance hedging. (English) Zbl 1014.91054 Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 283-292 (2001). MSC: 91B28 60H20 PDFBibTeX XMLCite \textit{B. Peisl}, in: Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5--7, 2000. Basel: Birkhäuser. 283--292 (2001; Zbl 1014.91054)
Estrade, Anne; Pontier, Monique Backward stochastic differential equations in a Lie group. (English) Zbl 0980.60085 Azéma, Jacques (ed.) et al., Séminaire de Probabilités XXXV. Berlin: Springer. Lect. Notes Math. 1755, 241-259 (2001). Reviewer: Rainer Buckdahn (Brest) MSC: 60H10 60G44 22E25 PDFBibTeX XMLCite \textit{A. Estrade} and \textit{M. Pontier}, Lect. Notes Math. 1755, 241--259 (2001; Zbl 0980.60085) Full Text: Numdam EuDML
Da Prato, Giuseppe Large asymptotic behaviour of Kolmogorov equations in Hilbert spaces. (English) Zbl 0946.47027 Jäger, W. (ed.) et al., Partial differential equations: theory and numerical solution. Proceedings of the ICM’98 satellite conference, Prague, Czech Republic, August 10-16, 1998. Boca Raton, FL: Chapman & Hall/CRC. Chapman Hall/CRC Res. Notes Math. 406, 111-120 (2000). Reviewer: H.Hering (Göttingen) MSC: 47D06 47D07 60H15 PDFBibTeX XMLCite \textit{G. Da Prato}, Chapman Hall/CRC Res. Notes Math. 406, 111--120 (2000; Zbl 0946.47027)
Rong, Situ Comparison theorem of solutions to BSDE with jumps, and viscosity solution to a generalized Hamilton-Jacobi-Bellman equation. (English) Zbl 0981.93077 Chen, Shuping (ed.) et al., Control of distributed parameter and stochastic systems. Proceedings of the international conference (IFIP WG 7.2), Hangzhou, China, June 19-22, 1998. Boston, MA: Kluwer Academic Publishers. 275-282 (1999). Reviewer: Michael Kohlmann (Bonn) MSC: 93E20 49L25 PDFBibTeX XMLCite \textit{S. Rong}, in: Control of distributed parameter and stochastic systems. Proceedings of the international conference (IFIP WG 7. 2), Hangzhou, China, June 19--22, 1998. Boston, MA: Kluwer Academic Publishers. 275--282 (1999; Zbl 0981.93077)
Ma, Jin; Zajic, Tim Rough asymptotics of forward-backward stochastic differential equations. (English) Zbl 0984.60039 Chen, Shuping (ed.) et al., Control of distributed parameter and stochastic systems. Proceedings of the international conference (IFIP WG 7.2), Hangzhou, China, June 19-22, 1998. Boston, MA: Kluwer Academic Publishers. 239-246 (1999). Reviewer: Rainer Buckdahn (Brest) MSC: 60F10 60H10 PDFBibTeX XMLCite \textit{J. Ma} and \textit{T. Zajic}, in: Control of distributed parameter and stochastic systems. Proceedings of the international conference (IFIP WG 7. 2), Hangzhou, China, June 19--22, 1998. Boston, MA: Kluwer Academic Publishers. 239--246 (1999; Zbl 0984.60039)
Naess, Arvid; Moe, Vibeke Generalized cell mapping versus path integration. (English) Zbl 0983.70505 Spanos, P. D. (ed.), Computational stochastic mechanics. Proceedings of the 3rd international conference (CSM’98) held on Santorini, Greece, June 14-17, 1998. Rotterdam: A. A. Balkema. 385-390 (1999). MSC: 70-08 70L05 70K40 PDFBibTeX XMLCite \textit{A. Naess} and \textit{V. Moe}, in: Computational stochastic mechanics. Proceedings of the 3rd international conference (CSM'98) held on Santorini, Greece, June 14--17, 1998. Rotterdam: A. A. Balkema. 385--390 (1999; Zbl 0983.70505)
Pardoux, Étienne Backward stochastic differential equations and viscosity solutions of systems of semilinear parabolic and elliptic PDEs of second order. (English) Zbl 0893.60036 Decreusefond, Laurent (ed.) et al., Stochastic analysis and related topics VI. Proceedings of the 6th Oslo-Silivri workshop, Geilo, Norway, July 29–August 6, 1996. Boston, MA: Birkhäuser. Prog. Probab. 42, 79-127 (1998). Reviewer: R.Buckdahn (Brest) MSC: 60H15 PDFBibTeX XMLCite \textit{É. Pardoux}, Prog. Probab. 42, 79--127 (1998; Zbl 0893.60036)
Mahmudov, N. I.; Bashirov, A. E. First order and second order necessary conditions of optimality for stochastic systems. (English) Zbl 0928.93068 Kabanov, Yu. M. (ed.) et al., Statistics and control of stochastic processes. The Liptser Festschrift. Papers from the Steklov seminar held in Moscow, Russia, 1995-1996. Singapore: World Scientific. 283-295 (1997). Reviewer: M.Nisio (Osaka) MSC: 93E20 PDFBibTeX XMLCite \textit{N. I. Mahmudov} and \textit{A. E. Bashirov}, in: Statistics and control of stochastic processes. The Liptser Festschrift. Papers from the Steklov seminar held in Moscow, Russia, 1995-1996. Singapore: World Scientific. 283--295 (1997; Zbl 0928.93068)
El Karoui, N.; Pardoux, E.; Quenez, M. C. Reflected backward SDEs and American options. (English) Zbl 0898.90033 Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 215-231 (1997). MSC: 91B24 60H15 91B28 35R60 60G40 35K85 PDFBibTeX XMLCite \textit{N. El Karoui} et al., in: Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 215--231 (1997; Zbl 0898.90033)
El Karoui, N.; Quenez, M. C. Imperfect markets and backward stochastic differential equations. (English) Zbl 0898.90032 Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 181-214 (1997). MSC: 91B24 60H15 91B28 PDFBibTeX XMLCite \textit{N. El Karoui} and \textit{M. C. Quenez}, in: Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 181--214 (1997; Zbl 0898.90032)
Hu, Ying Stability theorems and homogenization of nonlinear PDEs with periodic structures. (English) Zbl 0884.60055 El Karoui, Nicole (ed.) et al., Backward stochastic differential equations. Harlow: Longman. Pitman Res. Notes Math. Ser. 364, 193-205 (1997). Reviewer: A.Ya.Dorogovtsev (Kiev) MSC: 60H15 PDFBibTeX XMLCite \textit{Y. Hu}, Pitman Res. Notes Math. Ser. 364, 193--205 (1997; Zbl 0884.60055)
Barles, G.; Lesigne, E. SDE, BSDE and PDE. (English) Zbl 0886.60049 El Karoui, Nicole (ed.) et al., Backward stochastic differential equations. Harlow: Longman. Pitman Res. Notes Math. Ser. 364, 47-80 (1997). Reviewer: T.Bojdecki (Warszawa) MSC: 60H10 60H15 PDFBibTeX XMLCite \textit{G. Barles} and \textit{E. Lesigne}, Pitman Res. Notes Math. Ser. 364, 47--80 (1997; Zbl 0886.60049)
Pontier, M. Solutions of forward-backward stochastic differential equations. (English) Zbl 0889.60067 El Karoui, Nicole (ed.) et al., Backward stochastic differential equations. Harlow: Longman. Pitman Res. Notes Math. Ser. 364, 39-46 (1997). Reviewer: J.Jakubowski (Warszawa) MSC: 60H10 60H20 PDFBibTeX XMLCite \textit{M. Pontier}, Pitman Res. Notes Math. Ser. 364, 39--46 (1997; Zbl 0889.60067)
Pardoux, Etienne Backward stochastic differential equations and applications. (English) Zbl 0843.60054 Chatterji, S. D. (ed.), Proceedings of the international congress of mathematicians, ICM ’94, August 3-11, 1994, Zürich, Switzerland. Vol. II. Basel: Birkhäuser. 1502-1510 (1995). Reviewer: R.Buckdahn (Brest) MSC: 60H10 60H30 60D05 62P05 93E20 60-02 PDFBibTeX XMLCite \textit{E. Pardoux}, in: Proceedings of the international congress of mathematicians, ICM '94, August 3-11, 1994, Zürich, Switzerland. Vol. II. Basel: Birkhäuser. 1502--1510 (1995; Zbl 0843.60054)
Buckdahn, Rainer Backward stochastic differential equations. Option hedging under additional cost. (English) Zbl 0827.60044 Bolthausen, Erwin (ed.) et al., Seminar on stochastic analysis, random fields and applications. Proceedings of a seminar held at the Centro Stefano Franscini, Ascona, Switzerland, June 7-12, 1993. Basel: Birkhäuser. Prog. Probab. 36, 307-318 (1995). MSC: 60H10 60H30 60J60 PDFBibTeX XMLCite \textit{R. Buckdahn}, Prog. Probab. 36, 307--318 (1995; Zbl 0827.60044)
Veretennikov, A. Yu. On backward filtering equations for SDE systems (direct approach). (English) Zbl 0827.60027 Etheridge, Alison (ed.), Stochastic partial differential equations. Proceedings of an ICMS workshop held in Edinburgh, UK in March 1994. Cambridge: Cambridge University Press. Lond. Math. Soc. Lect. Note Ser. 216, 304-311 (1995). Reviewer: Arkady V. Yakimov (Nizhnij Novgorod) MSC: 60G35 93E11 60H15 PDFBibTeX XMLCite \textit{A. Yu. Veretennikov}, Lond. Math. Soc. Lect. Note Ser. 216, 304--311 (1995; Zbl 0827.60027)
Elliott, Robert J.; Yang, Hailiang Forward and backward equations for an adjoint process. (English) Zbl 0803.60071 Cambanis, Stamatis (ed.) et al., Stochastic processes: a Festschrift in honour of Gopinath Kallianpur. New York: Springer-Verlag. 61-69 (1993). Reviewer: M.Jerschow (Essen) MSC: 60J27 60H15 49N30 93C41 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{H. Yang}, in: Stochastic processes: a Festschrift in honour of Gopinath Kallianpur. New York: Springer-Verlag. 61--69 (1993; Zbl 0803.60071)
Pardoux, E.; Peng, S. Backward stochastic differential equations and quasilinear parabolic partial differential equations. (English) Zbl 0766.60079 Stochastic partial differential equations and their applications, Proc. IFIP Int. Conf., Charlotte/NC (USA) 1991, Lect. Notes Control Inf. Sci. 176, 200-217 (1992). Reviewer: S.Peng (Jinan) MSC: 60H15 60J60 PDFBibTeX XMLCite \textit{E. Pardoux} and \textit{S. Peng}, Lect. Notes Control Inf. Sci. 176, 200--217 (1992; Zbl 0766.60079)
Da Prato, G. Some results on Kolmogoroff equations for infinite dimensional stochastic systems. (English) Zbl 0671.93053 Stochastic differential systems, stochastic control theory and applications, Proc. Workshop Mineapolis/Minn. 1986, IMA Vol. Math. Appl. 10, 87-97 (1988). MSC: 93E03 93B25 60H15 35R20 60J65 PDFBibTeX XML
Stepanov, V. S. The backward Kolmogorov equation corresponding to a stochastic monotone parabolic equation. (Russian) Zbl 0568.34044 Differential equations and their applications, Collect. Artic., Moskva 1984, 165-169 (1984). Reviewer: Yu.Kabanov MSC: 34F05 60H10 PDFBibTeX XML
Da Prato, G. Direct solution of the Bellman equation for a stochastic control problem. (English) Zbl 0526.93070 Control theory for distributed parameter systems and applications, Proc. Conf., Vorau/Styria 1982, Lect. Notes Control Inf. Sci. 54, 92-99 (1983). MSC: 93E20 49J55 49L20 35K55 35D05 90C39 PDFBibTeX XML
Krylov, N. V.; Rozovskii, B. L. On the first integrals and Liouville equations for diffusion processes. (English) Zbl 0474.60049 Stochastic differential systems, Proc. 3rd IFIP-WG 7/1 Work. Conf., Visegrad/Hung. 1980, Lect. Notes Contr. Inf. Sci. 36, 117-125 (1981). MSC: 60H15 60J60 PDFBibTeX XML