On non-markovian forward-backward SDEs and backward stochastic PDEs

Stochastic Processes and their Applications

Volumn 122, Issue 12, 2012, Pages 3980-4004

  Ma, Jin ^a   Yin, Hong ^b   Zhang, Jianfeng ^a  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b STATE UNIVERSITY OF NEW YORK   (United States)

Author keywords

Backward stochastic partial differential equations; Forward backward stochastic differential equations; Nonlinear stochastic Feynman Kac formula

Indexed keywords

COMPARISON THEOREM; EQUIVALENCE RELATIONSHIP; FEYNMAN-KAC FORMULA; FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; FOUR STEP SCHEME; NON-MARKOVIAN; QUASI-LINEAR; RANDOM COEFFICIENTS; RANDOM FIELDS; SOBOLEV; STOCHASTIC PARTIAL DIFFERENTIAL EQUATION; STOCHASTIC PDES; WELLPOSEDNESS;

PARTIAL DIFFERENTIAL EQUATIONS;

STOCHASTIC SYSTEMS;

EID: 84866178050     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2012.08.002     Document Type: Article

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