Forward-backward stochastic differential equations and quasilinear parabolic PDEs

Étienne Pardoux; Shanjian Tang

doi:10.1007/s004409970001

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Forward-backward stochastic differential equations and quasilinear parabolic PDEs

Étienne Pardoux Shanjian Tang

Year: 1999 Journal: Probability Theory and Related Fields Vol: 114 (2)Pages: 123-150 Publisher: Springer Science+Business Media

DOI: 10.1007/s004409970001

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Keywords:

Mathematics Parabolic partial differential equation Stochastic partial differential equation Uniqueness Stochastic differential equation Monotonic function Partial differential equation A priori and a posteriori Degenerate energy levels Connection (principal bundle) Mathematical analysis Probabilistic logic Applied mathematics Differential equation

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Insurance, Mortality, Demography, Risk Management

Social Sciences → Social Sciences → Demography

Forward-backward stochastic differential equations and quasilinear parabolic PDEs

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