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Analysis 1 Backward doubly SDEs 1 Control theory 1 FBSDEs 1 Kontrolltheorie 1 Mathematical analysis 1 Mathematical programming 1 Mathematische Optimierung 1 Obstacle problem 1 Stochastic PDEs 1 Stochastic process 1 Stochastic viscosity solutions 1 Stochastischer Prozess 1 forward-backward Ricatti differential equations 1 future expectations 1 infinite horizon 1 optimal control 1 quasi-linear BSPDEs 1 stochastic maximum principle 1 stochastic viscosity solutions 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Aman, Auguste 1 Englezos, Nikolaos 1 Kartala, Xanthi-Isidora 1 Mrhardy, Naoul 1 Yannacopoulos, Athanasios N. 1
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Mathematics of operations research 1 Statistics & Probability Letters 1
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ECONIS (ZBW) 1 RePEc 1
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Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
Kartala, Xanthi-Isidora; Englezos, Nikolaos; … - In: Mathematics of operations research 45 (2020) 2, pp. 403-433
Persistent link: https://www.econbiz.de/10012242504
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Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs
Aman, Auguste; Mrhardy, Naoul - In: Statistics & Probability Letters 83 (2013) 3, pp. 863-874
This paper is intended to give a representation for a stochastic viscosity solution of semi-linear reflected stochastic partial differential equations with nonlinear Neumann boundary condition. We use its connection with reflected generalized backward doubly stochastic differential equations.
Persistent link: https://www.econbiz.de/10010616885
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