Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
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Publication:6170741
Abstract: In this paper, a class of non-Markovian forward-backward doubly stochastic systems is studied. By using the technique of functional It^o (or path-dependent) calculus, the relationship between the systems and related path-dependent quasi-linear stochastic partial differential equations (SPDEs in short) is established, and the well-known nonlinear stochastic Feynman-Kac formula of Pardoux and Peng [Backward doubly stochastic differential equations and systems of quasilinear SPDEs, Probab. Theory Relat. Fields 98 (1994), pp. 209--227] is developed to the non-Markovian situation. Moreover, we obtain the differentiability of the solution to the forward-backward doubly stochastic systems and some properties of solutions to the path-dependent SPDEs.
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Cited in
(4)- A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs
- Backward doubly stochastic differential equations and SPDEs with quadratic growth
- Solutions to general forward-backward doubly stochastic differential equations
- Large deviation principle for backward stochastic differential equations with a stochastic Lipschitz condition on \(z\)
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