Backward stochastic differential equations and partial differential equations with quadratic growth
Kobylanski, Magdalena
Ann. Probab., Tome 28 (2000) no. 1, p. 558-602 / Harvested from Project Euclid
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We provide existence, comparison and stability results for one- dimensional backward stochastic differential equations (BSDEs) when the coefficient (or generator) $F(t,Y, Z)$ is continuous and has a quadratic growth in $Z$ and the terminal condition is bounded.e also give, in this framework, the links between the solutions of BSDEs set on a diffusion and viscosity or Sobolev solutions of the corresponding semilinear partial differential equations.
Publié le : 2000-04-14
Classification:  Backward stochastic differential equations,  comparison principle,  semilinear partial differential equations,  viscosity solutions,  Feynman–Kac formula,  60H20,  60H30,  35J60,  35k55 
@article{1019160253,
     author = {Kobylanski, Magdalena},
     title = {Backward stochastic differential equations and partial
		 differential equations with quadratic growth},
     journal = {Ann. Probab.},
     volume = {28},
     number = {1},
     year = {2000},
     pages = { 558-602},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1019160253}
}

Kobylanski, Magdalena. Backward stochastic differential equations and partial
		 differential equations with quadratic growth. Ann. Probab., Tome 28 (2000) no. 1, pp.  558-602. http://gdmltest.u-ga.fr/item/1019160253/