Strong Approximations of BSDEs in a domain

Decoupled mild solutions; Martingale problem; càdlàg martingale; pseudo-PDE; Markov processes; backward stochas- tic differential equation..

Estimates near the boundary for solutions of elliptic partial differential equations satisfying general boundary conditions II.. Existence and regularity for semilinear

Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control. Infinite horizon

Keywords : Backward stochastic differential equations, utility maximisation, viscosity solutions, American options, mean-field games, forward-backward SDEs. Abstract : This thesis

Tessitore, Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control. Tessitore,

Key words: Second order backward stochastic differential equation, backward stochastic differen- tial equation with jumps, model uncertainty, PIDEs, viscosity solutions.. AMS

We then get stochastic representations for derivatives of viscosity solutions of one dimensional semilinear parabolic par- tial differential equations and parabolic

[PP92] Pardoux E., Peng S., Backward stochastic differential equation and quasilinear parabolic partial differential equations.