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Gradient estimates for porous medium and fast diffusion equations via FBSDE approach
Gradient estimates porous medium fast diffusion equations FBSDE approach Probability
2012/6/27
In this paper, we establish several gradient estimates for the positive solution of Porous Medium Equations (PMEs) and Fast Diffusion Equations (FDEs). Our proof is probabilistic and uses martingale t...
Results on numerics for FBSDE with drivers of quadratic growth
backward stochastic differential equation BSDE forwardbackward
2010/10/19
We consider the problem of numerical approximation for forward-backward stochastic differential equations with drivers of quadratic growth (qgFBSDE). To illustrate the significance of qgFBSDE, we disc...
Results on numerics for FBSDE with drivers of quadratic growth
backward stochastic differential equation BSDE forward-backward stochastic differential equation
2010/4/28
We consider the problem of numerical approximation for forward-backward stochastic differential equations with drivers of quadratic growth (qgFBSDE). To illustrate the significance of qgFBSDE, we disc...