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Pré-Publication, Document De Travail Année : 2005

Backward Stochastic Differential Equations on Manifolds

Fabrice Blache
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Résumé

The problem of finding a martingale on a manifold with a fixed random terminal value can be solved by considering BSDEs with a generator with quadratic growth. We study here a generalization of these equations and we give uniqueness and existence results in two different frameworks, using differential geometry tools. Applications to PDEs are given, including a certain class of Dirichlet problems on manifolds.
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Dates et versions

hal-00003918 , version 1 (17-01-2005)
hal-00003918 , version 2 (18-01-2005)

Identifiants

Citer

Fabrice Blache. Backward Stochastic Differential Equations on Manifolds. 2005. ⟨hal-00003918v2⟩
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