Forward-backward evolution equations and applications
نویسندگان
چکیده
منابع مشابه
Backward and Forward equations for Diffusion processes
This section is devoted to the discussion of two fundamental (partial) differential equations, that arise in the context of Markov diffusion processes. After giving a brief introduction of continuous-time continuous state Markov processes, we introduce the forward and backward equation, and provide a heuristic derivation of these equations for diffusion processes. We also discuss some examples ...
متن کاملMean Field Forward-Backward Stochastic Differential Equations
The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the mean field type. These equations occur in the study of mean field games and the optimal control of dynamics of the McKean Vlasov type.
متن کاملLinear Forward - Backward Stochastic Di erential Equations
The problem of nding adapted solutions to systems of coupled linear forward-backward stochastic dierential equations (FBSDEs, for short) is investigated. A necessary condition of solvability leads to a reduction of general linear FBSDEs to a special one. By some ideas from controllability in control theory, using some functional analysis, we obtain a necessary and sucient condition for the solv...
متن کاملHomogenization of forward-backward parabolic equations
We study the homogenization of the equation R(εx) ∂uε ∂t −∆uε = f , where R is a periodic function which may vanish or change sign, with appropriate initial/final conditions. The main tool is a compactness result for sequences of functions which have bounded norms in the spaces associated to the problems.
متن کاملForward and Backward Uncertainty Quantification in Optimization
This contribution gathers some of the ingredients presented during the Iranian Operational Research community gathering in Babolsar in 2019.It is a collection of several previous publications on how to set up an uncertainty quantification (UQ) cascade with ingredients of growing computational complexity for both forward and reverse uncertainty propagation.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Control and Related Fields
سال: 2016
ISSN: 2156-8472
DOI: 10.3934/mcrf.2016019