Backward Stochastic Differential Equations on Manifolds
Probability
2007-05-23 v1
Abstract
The problem of finding a martingale on a manifold with a fixed random terminal value can be solved by considering BSDEs with a generator with quadratic growth. We study here a generalization of these equations and we give uniqueness and existence results in two different frameworks, using differential geometry tools. Applications to PDEs are given, including a certain class of Dirichlet problems on manifolds.
Keywords
Cite
@article{arxiv.math/0501265,
title = {Backward Stochastic Differential Equations on Manifolds},
author = {Fabrice Blache},
journal= {arXiv preprint arXiv:math/0501265},
year = {2007}
}
Comments
47 pages To be published in PTRF