Adapted solution of a degenerate backward SPDE, with applications

DOI10.1016/S0304-4149(97)00057-4zbMath0911.60048OpenAlexW2167742035MaRDI QIDQ1275953

Jin Ma, Jiong-min Yong

Publication date: 14 January 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00057-4

zbMATH Keywords

forward-backward stochastic differential equationsbackward stochastic partial differential equationsadapted solutionsstochastic Feynman-Kac formula

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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