Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
نویسندگان
چکیده
منابع مشابه
Second-Order Backward Stochastic Differential Equations and Fully Nonlinear Parabolic PDEs
In the probability literature, backward stochastic differential equations (BSDE) received considerable attention after their introduction by E. Pardoux and S. Peng [5, 6] in 1990. During the past decade, interesting connections to partial differential equations (PDE) were obtained and the theory found wide applications in mathematical finance. The key property of the BSDE’s is the random termin...
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ژورنال
عنوان ژورنال: Communications on Pure and Applied Mathematics
سال: 2007
ISSN: 0010-3640,1097-0312
DOI: 10.1002/cpa.20168