Backward Stochastic Differential Equations on Manifolds
Abstract
Description
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.
47 pages To be published in PTRF
47 pages To be published in PTRF