Feynman-kac Formulas, Backward Stochastic Differential Equations and Markov Processes: Long Version
نویسنده
چکیده
Abstract. In this paper we explain the notion of stochastic backward differential equations and its relationship with classical (backward) parabolic differential equations of second order. The paper contains a mixture of stochastic processes like Markov processes and martingale theory and semi-linear partial differential equations of parabolic type. Some emphasis is put on the fact that the whole theory generalizes Feynman-Kac formulas. A new method of proof of the existence of solutions is given. All the existence arguments are based on rather precise quantitative estimates.
منابع مشابه
Feynman-kac Formulas, Backward Stochastic Differential Equations and Markov Processes
In this paper we explain the notion of stochastic backward differential equations and its relationship with classical (backward) parabolic differential equations of second order. The paper contains a mixture of stochastic processes like Markov processes and martingale theory and semi-linear partial differential equations of parabolic type. Some emphasis is put on the fact that the whole theory ...
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