Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

DOI10.1002/cpa.20168zbMath1121.60062arXivmath/0509295WikidataQ57635935 ScholiaQ57635935MaRDI QIDQ3445514

Nizar Touzi, Patrick Cheridito, Nicolas Victoir, Halil Mete Soner

Publication date: 11 June 2007

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0509295

zbMATH Keywords

Monte Carlo methods; existence and uniqueness; stochastic representation; second-order backward stochastic differential equations; theory of viscosity solutions; fully nonlinear parabolic partial differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35K55: Nonlinear parabolic equations

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