Backward doubly stochastic differential equations and systems of quasilinear SPDEs (Q1326279)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backward doubly stochastic differential equations and systems of quasilinear SPDEs |
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Backward doubly stochastic differential equations and systems of quasilinear SPDEs (English)
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14 July 1994
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We introduce a new class of backward stochastic differential equations, which allows us to produce a probabilistic representation of certain quasilinear stochastic partial differential equations, thus extending the Feynman-Kac formula for linear SPDE's.
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backward stochastic differential equations
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Feynman-Kac formula
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