Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems (Q459935)
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scientific article; zbMATH DE number 6354296
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| English | Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems |
scientific article; zbMATH DE number 6354296 |
Statements
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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0.9030673503875732
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0.806458055973053
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0.8016244173049927
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0.8001341223716736
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0.7941375970840454
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