A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
DOI10.1016/j.spa.2019.05.013zbMath1471.60082arXiv1602.05793OpenAlexW2964201745MaRDI QIDQ2301492
Lucian Maticiuc, Luca Di Persio, Francesco Giuseppe Cordoni, Adrian Zalinescu
Publication date: 24 February 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1602.05793
backward stochastic differential equationsFeynman-Kac formulaviscosity solutionstime-delayed generatorspath-dependent partial differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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