Wellposedness of second order backward SDEs (Q438976)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6062622
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Wellposedness of second order backward SDEs |
scientific article; zbMATH DE number 6062622 |
Statements
Wellposedness of second order backward SDEs (English)
0 references
31 July 2012
0 references
An existence and uniqueness theory for second backward SDEs is provided.The results are connected to fully nonlinear PDEs and the corresponding extension of the Feynman-Kac formula. The key argument is a stochastic representation contained in the optimal control interpretation.
0 references
backward SDEs
0 references
viscosity solutions for second order PDEs
0 references
0 references
0 references
0 references
0.8509133458137512
0 references
0.8479109406471252
0 references
0.8244912624359131
0 references
