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

DOI10.1016/j.spa.2012.08.002zbMath1260.60123OpenAlexW2024922075MaRDI 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 equationsbackward stochastic partial differential equationsdecoupling random fieldnon-Markovian caserandom coefficients case

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites Work

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