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Stationary backward stochastic differential equations and associated partial differential equations
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  • Published: October 1999

Stationary backward stochastic differential equations and associated partial differential equations

  • Rainer Buckdahn1 &
  • Shige Peng2 

Probability Theory and Related Fields volume 115, pages 383–399 (1999)Cite this article

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  • 25 Citations

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Abstract.

By replacing the final condition for backward stochastic differential equations (in short: BSDEs) by a stationarity condition on the solution process we introduce a new class of BSDEs. In a natural manner we associate to such BSDEs the periodic solution of second order partial differential equations with periodic structure.

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Authors and Affiliations

  1. Département de Mathématiques, Université de Bretagne Occidentale, F-29285 Brest Cédex, France. e-mail: rainer.buckdahn@infonie.fr, , , , , , FR

    Rainer Buckdahn

  2. Institute of Mathematics, Shandong University, 250100 Jinan, P.R. China. e-mail: peng@sdn.edu.cn, , , , , , CN

    Shige Peng

Authors
  1. Rainer Buckdahn
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  2. Shige Peng
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Received: 11 October 1996 / Revised version: 15 February 1999

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Buckdahn, R., Peng, S. Stationary backward stochastic differential equations and associated partial differential equations. Probab Theory Relat Fields 115, 383–399 (1999). https://doi.org/10.1007/s004400050242

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  • Issue Date: October 1999

  • DOI: https://doi.org/10.1007/s004400050242

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  • Mathematics Subject Classification (1991): 60H10, 60H30
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