Backward stochastic differential equations

September 19, 2019 — June 22, 2021

dynamical systems
Lévy processes
signal processing
stochastic processes
time series
Figure 1

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

1 References

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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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Kushner, and DiMasi. 1978. Approximations for Functionals and Optimal Control Problems on Jump Diffusion Processes.” Journal of Mathematical Analysis and Applications.
Pardoux. 1995. Backward Stochastic Differential Equations and Applications.” In Proceedings of the International Congress of Mathematicians.
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Perkowski. n.d. Backward Stochastic Differential Equations: An Introduction.”
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].