Forward-backward stochastic differential equations and PDE with gradient dependent second order coefficients
نویسندگان
چکیده
منابع مشابه
Forward-backward Stochastic Differential Equations and Pde with Gradient Dependent Second Order Coefficients
We consider a system of fully coupled forward-backward stochastic differential equations. First we generalize the results of Pardoux-Tang [7] concerning the regularity of the solutions with respect to initial conditions. Then, we prove that in some particular cases this system leads to a probabilistic representation of solutions of a second-order PDE whose second order coefficients depend on th...
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ژورنال
عنوان ژورنال: ESAIM: Probability and Statistics
سال: 2006
ISSN: 1292-8100,1262-3318
DOI: 10.1051/ps:2006005