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

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DOI10.1002/cpa.20168zbMath1121.60062arXivmath/0509295OpenAlexW2164282683WikidataQ57635935 ScholiaQ57635935MaRDI QIDQ3445514

Patrick Cheridito, Nicolas Victoir, Nizar Touzi, 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

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55)

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