Second Order Backward SDEs, Fully non- linear PDEs, and applications in Finance
نویسنده
چکیده
The martingale representation theorem in a Brownian filtration represents any square integrable r.v. ξ as a stochastic integral with respect to the Brownian motion. This is the simplest Backward SDE with nul generator and final data ξ, which can be seen as the non-Markov counterpart of the Cauchy problem in second order parabolic PDEs. Similarly, the notion of Second order BSDEs is the non-Markov counterpart of the fullynonlinear Cauchy problem, and is motivated by applications in finance and probabilistic numerical methods for PDEs. Mathematics Subject Classification (2000). Primary 60H10; Secondary 60H30.
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