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1

Mean-field stochastic differential equations and associated PDEs

Buckdahn, Rainer, Li, Juan, Peng, Shige, Rainer, Catherine

Journal:

The Annals of Probability

Year:

2017

Language:

english

File:

PDF, 472 KB

english, 2017

2

Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part II

Rainer Buckdahn, Jin Ma

Journal:

Stochastic Processes and their Applications

Year:

2001

Language:

english

File:

PDF, 237 KB

english, 2001

3

Propriété de viabilité pour des équations différentielles stochastiques rétrogrades et applications à des équations aux dérivées partielles

Rainer Buckdahn, Marc Quincampoix, Aurel Rascanu

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

1997

File:

PDF, 229 KB

1997

4

Mean-field backward stochastic differential equations and related partial differential equations

Rainer Buckdahn, Juan Li, Shige Peng

Journal:

Stochastic Processes and their Applications

Year:

2009

Language:

english

File:

PDF, 994 KB

english, 2009

5

Backward stochastic differential equations and integral-partial differential equations

Barles, Guy, Buckdahn, Rainer, Pardoux, Etienne

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1997

Language:

english

File:

PDF, 765 KB

english, 1997

6

Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations

Buckdahn, Rainer, Li, Juan

Journal:

SIAM Journal on Control and Optimization

Year:

2008

Language:

english

File:

PDF, 328 KB

english, 2008

7

Hedging Contingent Claims for a Large Investor in an Incomplete Market

Rainer Buckdahn and Ying Hu

Journal:

Advances in Applied Probability

Year:

1998

Language:

english

File:

PDF, 1.18 MB

english, 1998

8

Stochastic variational inequalities on non-convex domains

Buckdahn, Rainer, Maticiuc, Lucian, Pardoux, Etienne, Răşcanu, Aurel

Journal:

Journal of Differential Equations

Year:

2015

Language:

english

File:

PDF, 1.50 MB

english, 2015

9

Pathwise Stochastic Taylor Expansions and Stochastic Viscosity Solutions for Fully Nonlinear Stochastic PDEs

Rainer Buckdahn and Jin Ma

Journal:

The Annals of Probability

Year:

2002

Language:

english

File:

PDF, 3.09 MB

english, 2002

10

A Stochastic Maximum Principle for General Mean-Field Systems

Buckdahn, Rainer, Li, Juan, Ma, Jin

Journal:

Applied Mathematics & Optimization

Year:

2016

Language:

english

File:

PDF, 632 KB

english, 2016

11

A mean-field stochastic control problem with partial observations

Buckdahn, Rainer, Li, Juan, Ma, Jin

Journal:

The Annals of Applied Probability

Year:

2017

Language:

english

File:

PDF, 439 KB

english, 2017

12

Stochastic viscosity solutions for nonlinear stochastic partial differential equations. Part I

Rainer Buckdahn, Jin Ma

Journal:

Stochastic Processes and their Applications

Year:

2001

Language:

english

File:

PDF, 216 KB

english, 2001

13

Probabilistic approach to homogenizations of systems of quasilinear parabolic PDEs with periodic structures

Rainer Buckdahn, Ying Hu

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Year:

1998

Language:

english

File:

PDF, 429 KB

english, 1998

14

Stochastic Optimal Control and Linear Programming Approach

R. Buckdahn, D. Goreac, M. Quincampoix

Journal:

Applied Mathematics & Optimization

Year:

2011

Language:

english

File:

PDF, 502 KB

english, 2011

15

Stochastic differential games with reflection and related obstacle problems for Isaacs equations

Rainer Buckdahn, Juan Li

Journal:

Acta Mathematicae Applicatae Sinica, English Series

Year:

2011

Language:

english

File:

PDF, 450 KB

english, 2011

16

Pathwise Stochastic Control Problems and Stochastic HJB Equations

Buckdahn, Rainer, Ma, Jin

Journal:

SIAM Journal on Control and Optimization

Year:

2007

Language:

english

File:

PDF, 347 KB

english, 2007

17

Nash Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games

Buckdahn, Rainer, Cardaliaguet, Pierre, Rainer, Catherine

Journal:

SIAM Journal on Control and Optimization

Year:

2004

Language:

english

File:

PDF, 227 KB

english, 2004

18

Multidimensional linear stochastic differential equations in the skorohod sense

Buckdahn, R., Malliavin, P., Nualart, D.

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1997

Language:

english

File:

PDF, 750 KB

english, 1997

19

Existence of an optimal control for stochastic control systems with nonlinear cost functional

Buckdahn, R., Labed, B., Rainer, C., Tamer, L.

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2010

Language:

english

File:

PDF, 170 KB

english, 2010

20

Mean-Field SDE Driven by a Fractional Brownian Motion and Related Stochastic Control Problem

Buckdahn, Rainer, Jing, Shuai

Journal:

SIAM Journal on Control and Optimization

Year:

2017

Language:

english

File:

PDF, 461 KB

english, 2017

21

Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs

Buckdahn, Rainer, Ma, Jin

Journal:

The Annals of Probability

Year:

2002

Language:

english

File:

PDF, 328 KB

english, 2002

22

Representation Formulas for Limit Values of Long Run Stochastic Optimal Controls

Buckdahn, Rainer, Li, Juan, Quincampoix, Marc, Renault, JÃ©rÃ´me

Journal:

SIAM Journal on Control and Optimization

Year:

2020

File:

PDF, 480 KB

2020

23

Randomized Stopping Times: DOOB'S Optiomal Sampling Theorem and Optimal Stopping

R. Buckdahn, H. J. Engelbert

Journal:

Mathematische Nachrichten

Year:

1984

Language:

english

File:

PDF, 553 KB

english, 1984

24

A Regularity Condition for Non-Markovian Solutions of Stochastic Differential Equations in the Plane

Journal:

Mathematische Nachrichten

Year:

1990

Language:

english

File:

PDF, 328 KB

english, 1990

25

Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems

Rainer Buckdahn, Marc Quincampoix, Catherine Rainer, Josef Teichmann

Journal:

Bulletin des Sciences Mathématiques

Year:

2010

Language:

english

File:

PDF, 126 KB

english, 2010

26

On limiting values of stochastic differential equations with small noise intensity tending to zero

R. Buckdahn, Y. Ouknine, M. Quincampoix

Journal:

Bulletin des Sciences Mathématiques

Year:

2009

Language:

english

File:

PDF, 123 KB

english, 2009

27

On the existence of stochastic optimal control of distributed state system

Rainer Buckdahn, Aurel Răşcanu

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Year:

2003

Language:

english

File:

PDF, 277 KB

english, 2003

28

Existence of stochastic control under state constraints

Rainer Buckdahn, Shige Peng, Marc Quincampoix, Catherine Rainer

Journal:

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics

Year:

1998

File:

PDF, 372 KB

1998

29

A conditional approach to the anticipating Girsanov transformation

Rainer Buckdahn, Hans Föllmer

Journal:

Probability Theory and Related Fields

Year:

1993

Language:

english

File:

PDF, 766 KB

english, 1993

30

Linear skorohod stochastic differential equations

Rainer Buckdahn

Journal:

Probability Theory and Related Fields

Year:

1991

Language:

english

File:

PDF, 755 KB

english, 1991

31

Skorohod stochastic differential equations of diffusion type

Rainer Buckdahn

Journal:

Probability Theory and Related Fields

Year:

1992

Language:

english

File:

PDF, 1.12 MB

english, 1992

32

Linear stochastic differential equations and Wick products

R. Buckdahn, D. Nualart

Journal:

Probability Theory and Related Fields

Year:

1994

Language:

english

File:

PDF, 905 KB

english, 1994

33

Anticipative Girsanov transformations

Rainer Buckdahn

Journal:

Probability Theory and Related Fields

Year:

1991

Language:

english

File:

PDF, 938 KB

english, 1991

34

Stochastic control with exit time and constraints, application to small time attainability of sets

Rainer Buckdahn, Marc Quincampoix, Catherine Rainer, Aurel Răşcanu

Journal:

Applied Mathematics & Optimization

Year:

2004

Language:

english

File:

PDF, 554 KB

english, 2004

35

Probabilistic interpretation of a coupled system of Hamilton–Jacobi–Bellman equations

Rainer Buckdahn, Ying Hu

Journal:

Journal of Evolution Equations

Year:

2010

Language:

english

File:

PDF, 231 KB

english, 2010

36

Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers

Rainer Buckdahn, Juan Li

Journal:

Nonlinear Differential Equations and Applications NoDEA

Year:

2009

Language:

english

File:

PDF, 503 KB

english, 2009

37

Lipschitz continuity and semiconcavity properties of the value function of a stochastic control problem

Rainer Buckdahn, Piermarco Cannarsa, Marc Quincampoix

Journal:

Nonlinear Differential Equations and Applications NoDEA

Year:

2010

Language:

english

File:

PDF, 222 KB

english, 2010

38

Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs

Rainer Buckdahn, Ying Hu, Shige Peng

Journal:

Nonlinear Differential Equations and Applications NoDEA

Year:

1999

Language:

english

File:

PDF, 165 KB

english, 1999

39

Limit Theorem for Controlled Backward SDEs and Homogenization of Hamilton–Jacobi–Bellman Equations

Rainer Buckdahn, Naoyuki Ichihara

Journal:

Applied Mathematics & Optimization

Year:

2005

Language:

english

File:

PDF, 356 KB

english, 2005

40

Stochastic Control with Exit Time and Constraints, Application to Small Time Attainability of Sets

Rainer Buckdahn, Marc Quincampoix, Catherine Rainer, Aurel Rascanu

Journal:

Applied Mathematics & Optimization

Year:

2004

Language:

english

File:

PDF, 237 KB

english, 2004

41

A Stochastic Tikhonov Theorem in Infinite Dimensions

Rainer Buckdahn, Giuseppina Guatteri

Journal:

Applied Mathematics & Optimization

Year:

2006

Language:

english

File:

PDF, 358 KB

english, 2006

42

A General Stochastic Maximum Principle for SDEs of Mean-field Type

Rainer Buckdahn, Boualem Djehiche, Juan Li

Journal:

Applied Mathematics & Optimization

Year:

2011

Language:

english

File:

PDF, 654 KB

english, 2011

43

Stationary backward stochastic differential equations and associated partial differential equations

Rainer Buckdahn, Shige Peng

Journal:

Probability Theory and Related Fields

Year:

1999

Language:

english

File:

PDF, 119 KB

english, 1999

44

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

Rainer Buckdahn, Marc Quincampoix, Aurel Răşcanu

Journal:

Probability Theory and Related Fields

Year:

2000

Language:

english

File:

PDF, 142 KB

english, 2000

45

Inf-convolution of G-expectations

XuePeng Bai, Rainer Buckdahn

Journal:

Science China Mathematics

Year:

2010

Language:

english

File:

PDF, 296 KB

english, 2010

46

Some Recent Aspects of Differential Game Theory

R. Buckdahn, P. Cardaliaguet, M. Quincampoix

Journal:

Dynamic Games and Applications

Year:

2011

Language:

english

File:

PDF, 849 KB

english, 2011

47

Regularity Properties for General HJB Equations: A Backward Stochastic Differential Equation Method

Buckdahn, Rainer, Huang, Jianhui, Li, Juan

Journal:

SIAM Journal on Control and Optimization

Year:

2012

Language:

english

File:

PDF, 394 KB

english, 2012

48

Stochastic representation for solutions of Isaacs’ type integral–partial differential equations

Rainer Buckdahn, Ying Hu, Juan Li

Journal:

Stochastic Processes and their Applications

Year:

2011

Language:

english

File:

PDF, 392 KB

english, 2011

49

A Representation Formula for the Mean Curvature Motion

Buckdahn, R., Cardaliaguet, P., Quincampoix, M.

Journal:

SIAM Journal on Mathematical Analysis

Year:

2001

Language:

english

File:

PDF, 214 KB

english, 2001

50

Controlled Stochastic Differential Equations under Constraints in Infinite Dimensional Spaces

Buckdahn, Rainer, Quincampoix, Marc, Tessitore, Gianmario

Journal:

SIAM Journal on Control and Optimization

Year:

2008

Language:

english

File:

PDF, 359 KB

english, 2008

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