On non-Markovian forward-backward SDEs and backward stochastic PDEs

DOI10.1016/j.spa.2012.08.002zbMath1260.60123MaRDI QIDQ713213

D. Kharzeev

Publication date: 26 October 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.08.002

zbMATH Keywords

forward-backward stochastic differential equations; backward stochastic partial differential equations; decoupling random field; non-Markovian case; random coefficients case

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

60H15: Stochastic partial differential equations (aspects of stochastic analysis)