Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems (Q459935)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems |
scientific article |
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Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems (English)
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13 October 2014
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Summary: We study the relationship between functional forward-backward stochastic systems and path-dependent PDEs. In the framework of functional Itô calculus, we introduce a path-dependent PDE and prove that its solution is uniquely determined by a functional forward-backward stochastic system.
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