Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations

Kai Du; Qi Zhang

doi:10.1016/j.spa.2013.01.005

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Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations

Kai Du Qi Zhang

Year: 2013 Journal: Stochastic Processes and their Applications Vol: 123 (5)Pages: 1616-1637 Publisher: Elsevier BV

DOI: 10.1016/j.spa.2013.01.005

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Keywords:

Mathematics Stochastic partial differential equation Stochastic differential equation Degenerate energy levels Mathematical analysis Numerical partial differential equations Differential equation Applied mathematics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Insurance, Mortality, Demography, Risk Management

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations

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