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Viability property for a backward stochastic differential equation and applications to partial differential equations
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  • Published: April 2000

Viability property for a backward stochastic differential equation and applications to partial differential equations

  • Rainer Buckdahn1,
  • Marc Quincampoix1 &
  • Aurel Răşcanu2 

Probability Theory and Related Fields volume 116, pages 485–504 (2000)Cite this article

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Abstract.

In the present paper, we study conditions under which the solutions of a backward stochastic differential equation remains in a given set of constraints. This property is the so-called “viability property”. In a separate section, this condition is translated to a class of partial differential equations.

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Authors and Affiliations

  1. Département de Mathématiques, Université de Bretagne Occidentale, 6 Avenue Victor Le Gorgeu, B.P. 809, 29285 Brest Cedex, France. e-mail: rainer.buckdahn@univ-brest.fr; marc.quincampoix@univ-brest.fr, , , , , , FR

    Rainer Buckdahn & Marc Quincampoix

  2. Facultatea de Matematică, Universitatea “Alexandru Ioan Cuza”, 6600 Iaşi, Romania. e-mail: rascanu@uaic.ro, , , , , , RO

    Aurel Răşcanu

Authors
  1. Rainer Buckdahn
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  2. Marc Quincampoix
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  3. Aurel Răşcanu
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Received: 23 April 1998 / Published online: 14 February 2000

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Cite this article

Buckdahn, R., Quincampoix, M. & Răşcanu, A. Viability property for a backward stochastic differential equation and applications to partial differential equations. Probab Theory Relat Fields 116, 485–504 (2000). https://doi.org/10.1007/s004400050260

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  • Issue Date: April 2000

  • DOI: https://doi.org/10.1007/s004400050260

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Keywords

  • Differential Equation
  • Partial Differential Equation
  • Stochastic Differential Equation
  • Separate Section
  • Viability Property
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