Backward stochastic dynamics on a filtered probability space

DOI10.1214/10-AOP588zbMath1238.60064arXiv0904.0377MaRDI QIDQ717884

Zhongmin Qian, Gechun Liang, Terence J. Lyons

Publication date: 10 October 2011

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.0377

zbMATH Keywords

Brownian motion; martingale representation; BSDE; nonlinear Feynman-Kac formula; semimartingale decomposition; functional SDE

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60J45: Probabilistic potential theory

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