Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

DOI10.1002/CPA.20168zbMath1121.60062arXivmath/0509295OpenAlexW2164282683WikidataQ57635935 ScholiaQ57635935MaRDI QIDQ3445514

Patrick Cheridito, Nicolas Victoir, Nizar Touzi, Halil Mete Soner

Publication date: 11 June 2007

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0509295

zbMATH Keywords

Monte Carlo methodsexistence and uniquenessstochastic representationsecond-order backward stochastic differential equationstheory of viscosity solutionsfully nonlinear parabolic partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55)

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• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation

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