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Volumn 6, Issue 4, 1999, Pages 395-411

Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs

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EID: 0041128049     PISSN: 10219722     EISSN: None     Source Type: Journal    
DOI: 10.1007/s000300050010     Document Type: Article
Times cited : (28)

References (15)
  • 1
    • 0002508109 scopus 로고    scopus 로고
    • Backward stochastic differential equations and integral-partial differential equations
    • G. BARLES, R. BUCKDAHN and E. PARDOUX, Backward stochastic differential equations and integral-partial differential equations, Stochastics Stochastic Rep. 60 (1997), pp. 57-83.
    • (1997) Stochastics Stochastic Rep. , vol.60 , pp. 57-83
    • Barles, G.1    Buckdahn, R.2    Pardoux, E.3
  • 4
    • 0032061556 scopus 로고    scopus 로고
    • Probabilistic approach to homogenization of systems of quasilinear parabolic PDEs with periodic structures
    • R. BUCKDAHN and Y. HU, Probabilistic approach to homogenization of systems of quasilinear parabolic PDEs with periodic structures, Nonlinear Anal. 32 (1998), pp. 609-619.
    • (1998) Nonlinear Anal. , vol.32 , pp. 609-619
    • Buckdahn, R.1    Hu, Y.2
  • 7
    • 0031542653 scopus 로고    scopus 로고
    • Backward stochastic differential equations in finance
    • N. EL KAROUI, S. PENG and M.C. QUENEZ, Backward stochastic differential equations in finance, Math. Finance 7 (1997), pp. 1-71.
    • (1997) Math. Finance , vol.7 , pp. 1-71
    • El Karoui, N.1    Peng, S.2    Quenez, M.C.3
  • 9
    • 0031138616 scopus 로고    scopus 로고
    • A stability theorem of backward stochastic differential equations and its application
    • Y. HU and S. PENG, A stability theorem of backward stochastic differential equations and its application, C. R. Acad. Sci. Paris Sér. I Math. 324 (1997), pp. 1059-1064.
    • (1997) C. R. Acad. Sci. Paris Sér. i Math. , vol.324 , pp. 1059-1064
    • Hu, Y.1    Peng, S.2
  • 11
    • 0038434600 scopus 로고    scopus 로고
    • Backward stochastic differential equations and viscosity solutions of systems of semilinear parabolic and elliptic PDEs of second order
    • L. Decreusefond et al. (eds.) Birkhauser, Boston
    • E. PARDOUX, Backward stochastic differential equations and viscosity solutions of systems of semilinear parabolic and elliptic PDEs of second order, in: L. Decreusefond et al. (eds.) Stochastic Analysis and Related Topics VI: the Geilo Workshop, 1996, pp. 79-127, Birkhauser, Boston, 1998.
    • (1998) Stochastic Analysis and Related Topics VI: the Geilo Workshop, 1996 , pp. 79-127
    • Pardoux, E.1
  • 12
    • 0025262967 scopus 로고
    • Adapted solution of a backward stochastic differential equation
    • E. Pardoux and S. Peng, Adapted solution of a backward stochastic differential equation, Systems Control Lett. 14 (1990), pp. 55-61.
    • (1990) Systems Control Lett. , vol.14 , pp. 55-61
    • Pardoux, E.1    Peng, S.2
  • 13
    • 0000268709 scopus 로고
    • Backward stochastic differential equations and quasilinear parabolic partial differential equations
    • B.L. Rozovskii, R.B. Sowers (eds.), Springer, Berlin
    • E. PARDOUX and S. PENG, Backward stochastic differential equations and quasilinear parabolic partial differential equations, in: B.L. Rozovskii, R.B. Sowers (eds.) Stochastic Partial Differential Equations and their Applications (Lect. Notes Control Inf. Sci. 176), pp. 200-217, Springer, Berlin, 1992.
    • (1992) Stochastic Partial Differential Equations and Their Applications Lect. Notes Control Inf. Sci. , vol.176 , pp. 200-217
    • Pardoux, E.1    Peng, S.2
  • 14
    • 0002686129 scopus 로고
    • Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
    • S. PENG, Probabilistic interpretation for systems of quasilinear parabolic partial differential equations, Stochastics Stochastic Reports 37 (1991), pp. 61-74.
    • (1991) Stochastics Stochastic Reports , vol.37 , pp. 61-74
    • Peng, S.1


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