Feynman-Kac representation of fully nonlinear PDEs and applications

DOI10.1007/s40306-015-0128-xzbMath1322.60133arXiv1409.0625OpenAlexW1576861397MaRDI QIDQ2355853

Huyên Pham

Publication date: 28 July 2015

Published in: Acta Mathematica Vietnamica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.0625

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlMonte Carlo simulationsbackward stochastic differential equationsmathematical financefully nonlinear PDEsFeynman-Kac representationdiscrete-time approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Numerical solutions to stochastic differential and integral equations (65C30)

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