Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs

DOI10.1080/17442508.2022.2085503zbMATH Open1525.60077arXiv2206.05435WikidataQ114098088 ScholiaQ114098088MaRDI QIDQ6170741FDOQ6170741

Authors: Yufeng Shi, Jiaqiang Wen, Jie Xiong 

Publication date: 13 July 2023

Published in: Stochastics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2206.05435

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zbMATH Keywords

backward doubly stochastic differential equationspath-dependencenonlinear stochastic Feynman-Kac formulafunctional Itô calculus

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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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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