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

MaRDI QIDQ459935zbMATH OpenFDO

Authors Shaolin Ji, Shuzhen Yang

Publication date 13 October 2014

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

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

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)

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.

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Cited in

(8)

• Probabilistic solutions for a class of path-dependent Hamilton-Jacobi-Bellman equations
• Non-Markovian fully coupled forward-backward stochastic systems and classical solutions of path-dependent PDES
• Classical solution of path-dependent mean-field semilinear PDEs
• Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
• Pathwise no-arbitrage in a class of delta hedging strategies
• On path-dependent multidimensional forward-backward SDEs
• 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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