Wellposedness of second order backward SDEs
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Publication:438976
DOI10.1007/S00440-011-0342-YzbMATH Open1252.60056arXiv1003.6053OpenAlexW2168474627WikidataQ57635913 ScholiaQ57635913MaRDI QIDQ438976FDOQ438976
Authors: Nizar Touzi, Jianfeng Zhang, H. Mete Soner 
Publication date: 31 July 2012
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Abstract: We provide an existence and uniqueness theory for an extension of backward SDEs to the second order. While standard Backward SDEs are naturally connected to semilinear PDEs, our second order extension is connected to fully nonlinear PDEs, as suggested by Cheridito et.al. In particular, we provide a fully nonlinear extension of the Feynman-Kac formula. Unlike the earlier papers, the alternative formulation of this paper insists that the equation must hold under a non-dominated family of mutually singular probability measures. The key argument is a stochastic representation, suggested by the optimal control interpretation, and analyzed in our accompanying paper
Full work available at URL: https://arxiv.org/abs/1003.6053
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