BSDE, path-dependent PDE and nonlinear Feynman-Kac formula

DOI10.1007/s11425-015-5086-1zbMath1342.60108arXiv1108.4317OpenAlexW2143365754MaRDI QIDQ2629534

Shige Peng, Falei Wang

Publication date: 6 July 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.4317

zbMATH Keywords

backward stochastic differential equationsnonlinear Feynman-Kac formulapath-dependent PDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Second-order parabolic equations (35K10)

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