Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems

zbMATH Open1296.60178arXiv1204.3702MaRDI QIDQ459935FDOQ459935

Shaolin Ji, Shuzhen Yang

Publication date: 13 October 2014

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Abstract: In this paper we study the relationship between functional forward-backward stochastic systems and path-dependent PDEs. In the framework of functional It^o calculus, we introduce a path-dependent PDE and prove that its solution is uniquely determined by a functional forward-backward stochastic system.

Full work available at URL: https://arxiv.org/abs/1204.3702

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Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Classical solutions to PDEs (35A09)

Cited In (5)

• Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
• On path-dependent multidimensional forward-backward SDEs
• Pathwise no-arbitrage in a class of delta hedging strategies
• A functional Itô's calculus approach to convex risk measures with jump diffusion
• Classes of elementary function solutions to the CEV model I

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