Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
Abstract
In this paper, a class of non-Markovian forward-backward doubly stochastic systems is studied. By using the technique of functional It\^o (or path-dependent) calculus, the relationship between the systems and related path-dependent quasi-linear stochastic partial differential equations (SPDEs in short) is established, and the well-known nonlinear stochastic Feynman-Kac formula of Pardoux and Peng [Backward doubly stochastic differential equations and systems of quasilinear SPDEs, Probab. Theory Relat. Fields 98 (1994), pp. 209--227] is developed to the non-Markovian situation. Moreover, we obtain the differentiability of the solution to the forward-backward doubly stochastic systems and some properties of solutions to the path-dependent SPDEs.
Keywords
Cite
@article{arxiv.2206.05435,
title = {Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs},
author = {Yufeng Shi and Jiaqiang Wen and Jie Xiong},
journal= {arXiv preprint arXiv:2206.05435},
year = {2022}
}
Comments
28 pages