Backward stochastic differential equations and quasilinear parabolic partial differential equations

Étienne Pardoux; Shigē Péng

doi:10.1007/bfb0007334

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Backward stochastic differential equations and quasilinear parabolic partial differential equations

Étienne Pardoux Shigē Péng

Year: 2005 Lecture notes in control and information sciences Pages: 200-217 Publisher: Springer Science+Business Media

DOI: 10.1007/bfb0007334

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Keywords:

Stochastic partial differential equation Parabolic partial differential equation Numerical partial differential equations Mathematics Mathematical analysis Method of characteristics Differential equation First-order partial differential equation Partial differential equation

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Mathematical Biology Tumor Growth

Physical Sciences → Mathematics → Modeling and Simulation

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Backward stochastic differential equations and quasilinear parabolic partial differential equations

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