Backward Stochastic Differential Equations on Manifolds

Fabrice Blache

Backward Stochastic Differential Equations on Manifolds

概率论 2007-05-23 v1

作者: Fabrice Blache

摘要

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.

关键词

backward stochastic differential equations reflected backward stochastic differential equations martingale theory

引用

@article{arxiv.math/0501265,
  title  = {Backward Stochastic Differential Equations on Manifolds},
  author = {Fabrice Blache},
  journal= {arXiv preprint arXiv:math/0501265},
  year   = {2007}
}

备注

47 pages To be published in PTRF

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