Feynman-Kac representation of fully nonlinear PDEs and applications (Q2355853)
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scientific article
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| English | Feynman-Kac representation of fully nonlinear PDEs and applications |
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Feynman-Kac representation of fully nonlinear PDEs and applications (English)
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28 July 2015
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fully nonlinear PDEs
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Feynman-Kac representation
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backward stochastic differential equations
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Hamilton-Jacobi-Bellman equation
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stochastic control
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Monte Carlo simulations
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discrete-time approximation
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mathematical finance
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0.8529718518257141
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0.8444943428039551
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0.8333514332771301
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0.8202597498893738
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