Adapted solution of a degenerate backward spde, with applications

Stochastic Processes and their Applications

Volumn 70, Issue 1, 1997, Pages 59-84

  Ma, Jin ^a   Yong, Jiongmin ^b  

^a PURDUE UNIVERSITY   (United States)

^b FUDAN UNIVERSITY   (China)

Author keywords

Adapted solutions; Degenerate backward stochastic partial differential equations; Feynman Kac formula; Forward backward stochastic differential equations; Malliavin calculus; Option pricing

Indexed keywords

EID: 0031256310     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(97)00057-4     Document Type: Article

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