Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs

Jiaqiang Wen; Yufeng Shi

doi:10.1016/j.jmaa.2018.10.038

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Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs

Jiaqiang Wen Yufeng Shi

Year: 2018 Journal: Journal of Mathematical Analysis and Applications Vol: 476 (1)Pages: 86-100 Publisher: Elsevier BV

DOI: 10.1016/j.jmaa.2018.10.038

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Keywords:

Mathematics Malliavin calculus Stochastic differential equation Stochastic partial differential equation Nonlinear system Applied mathematics Stochastic calculus Mathematical analysis 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

Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs

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