Forward-backward stochastic differential equations with nonsmooth coefficients

Stochastic Processes and their Applications

Volumn 87, Issue 1, 2000, Pages 93-106

  Hu, Ying ^a   Yong, Jiongmin ^b  

^a UNIVERSITÉ DE RENNES 1   (France)

^b Lab of Math for Nonlinear Sciences   (China)

Author keywords

Forward backward stochastic differential equation; Four step scheme; Nonlinear Feynman Kac formula; Viscosity solution

Indexed keywords

EID: 0008882288     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(99)00106-4     Document Type: Article

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