Wellposedness of second order backward SDEs (Q438976)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Wellposedness of second order backward SDEs |
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Wellposedness of second order backward SDEs (English)
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31 July 2012
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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.
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backward SDEs
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viscosity solutions for second order PDEs
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