Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data

Abstract : We provide a stochastic representation for a general class of viscous Hamilton-Jacobi (HJ) equations, which has convexity and superlinear nonlinearity in its gradient term, via a type of backward stochastic differential equation (BSDE) with constraint in the martingale part. We compare our result with the classical representation in terms of (super)quadratic BSDE, and show in particular that existence of a solution to the viscous HJ equation can be obtained under more general growth assumptions on the coefficients, including both unbounded diffusion coefficient and terminal data.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

Cited literature [25 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01154898
Contributor : Huyên Pham <>
Submitted on : Tuesday, March 7, 2017 - 4:43:48 PM
Last modification on : Friday, March 27, 2020 - 4:02:42 AM
Document(s) archivé(s) le : Thursday, June 8, 2017 - 2:31:40 PM

Files

ViscousHJBCPX_revised_final.pd...
Files produced by the author(s)

Identifiers

  • HAL Id : hal-01154898, version 2
  • ARXIV : 1505.06868

Citation

Andrea Cosso, Huyên Pham, Hao Xing. BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data. 2017. ⟨hal-01154898v2⟩

Share

Metrics

Record views

367

Files downloads

479