Backward stochastic differential equations

September 19, 2019 — June 22, 2021

dynamical systems
Lévy processes
probability
SDEs
signal processing
stochastic processes
time series

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Figure 1

Placeholder. Keywords: nonlinear Feynman-Kac. Some kind of connection to optimal control?

1 References

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Carbone, Ferrario, and Santacroce. 2008. “Backward Stochastic Differential Equations Driven By Càdlàg Martingales.” Theory of Probability and Its Applications.
El Karoui, Nicole, Hamadene, and Matoussi. 2008. “Backward Stochastic Differential Equations and Applications.” Indifference Pricing : Theory and Applications.
El Karoui, N., Peng, and Quenez. 1997. “Backward Stochastic Differential Equations in Finance.” Mathematical Finance.
Gobet, Lemor, and Warin. 2005. “A Regression-Based Monte Carlo Method to Solve Backward Stochastic Differential Equations.” The Annals of Applied Probability.
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Perkowski. 2011. “Backward Stochastic Differential Equations: An Introduction.”
Pham. 2015. “Feynman-Kac Representation of Fully Nonlinear PDEs and Applications.” Acta Mathematica Vietnamica.
Şimşekli, Sener, Deligiannidis, et al. 2020. “Hausdorff Dimension, Stochastic Differential Equations, and Generalization in Neural Networks.” CoRR.
Wolpert, and Brown. 2021. “Markov Infinitely-Divisible Stationary Time-Reversible Integer-Valued Processes.” arXiv:2105.14591 [Math].