Backward stochastic dynamics on a filtered probability space
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Publication:717884
DOI10.1214/10-AOP588zbMath1238.60064arXiv0904.0377MaRDI QIDQ717884
Terence J. Lyons, Gechun Liang, Zhongmin Qian
Publication date: 10 October 2011
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.0377
Brownian motion; martingale representation; BSDE; nonlinear Feynman-Kac formula; semimartingale decomposition; functional SDE
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
60J45: Probabilistic potential theory
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