Found 22 Documents (Results 1–22)
Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations. (English) Zbl 1469.35212
Analytic approach to solve a degenerate parabolic PDE for the Heston model. (English) Zbl 1370.35184
Localization errors in solving stochastic partial differential equations in the whole space. (English) Zbl 1364.60081
Stochastic variational inequalities and regularity for degenerate stochastic partial differential equations. (English) Zbl 1360.60123
Reviewer: Martin Ondreját (Praha)
Self-adjoint extensions and stochastic completeness of the Laplace-Beltrami operator on conic and anticonic surfaces. (English) Zbl 1331.53063
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps. (English) Zbl 1323.65076
On Bellman’s equations for mean and variance control of a Markov diffusion. (English) Zbl 1207.60041
Reviewer: Nikolaos Halidias (Athens)
An existence result to a strongly coupled degenerated system arising in tumor modeling. (English) Zbl 1173.34356
Homogenization of periodic linear degenerate PDEs. (English) Zbl 1167.60015
Reviewer: René L. Schilling (Dresden)
Uniqueness of solutions for second order Bellman-Isaacs equations with mixed boundary conditions. (English) Zbl 1160.35340
Reviewer: Fabio Bagagiolo (Trento)
Uniqueness results for boundary value problems arising from finite fuel and other singular and unbounded stochastic control problems. (English) Zbl 1168.35315
Entropy solutions to a strongly degenerate anisotropic convection–diffusion equation with application to utility theory. (English) Zbl 1026.35054
Reviewer: Vladimir N.Grebenev (Novosibirsk)
Well-posedness of a degenerate parabolic equation issuing from two-dimensional perfect fluid dynamics. (English) Zbl 1162.76339
A Dirichlet type problem for nonlinear degenerate elliptic equations arising in time-optimal stochastic control. (English) Zbl 0970.35065
Reviewer: Ya.Belopolskaya (St.Peterburg)
Viability property for a backward stochastic differential equation and applications to partial differential equations. (English) Zbl 0969.60061
Reviewer: Mihai Gradinaru (Nancy)
Bellman equation with unbounded coefficients and its applications. (English) Zbl 0635.49016
Probability theory and mathematical statistics, Proc. 5th Jap.-USSR Symp., Kyoto/Jap. 1986, Lect. Notes Math. 1299, 69-79 (1988).
Reviewer: M.Nisio
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