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  • Search: subject:"Nonlinear stochastic Feynman–Kac formula"
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Backward stochastic partial differential equations 1 Forward–backward stochastic differential equations 1 Nonlinear stochastic Feynman–Kac formula 1
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Ma, Jin 1 Yin, Hong 1 Zhang, Jianfeng 1
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Stochastic Processes and their Applications 1
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On non-Markovian forward–backward SDEs and backward stochastic PDEs
Ma, Jin; Yin, Hong; Zhang, Jianfeng - In: Stochastic Processes and their Applications 122 (2012) 12, pp. 3980-4004
In this paper, we establish an equivalence relationship between the wellposedness of forward–backward SDEs (FBSDEs) with random coefficients and that of backward stochastic PDEs (BSPDEs). Using the notion of the “decoupling random field”, originally observed in the well-known Four Step...
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