Partial differential equations associated to non linear backward stochastic differential equations with Gaussian Volterra processes
Probability
2020-05-15 v1
Abstract
In this paper, we generalize to Gaussian Volterra processes the existence and uniqueness of solutions for a class of non linear backward stochastic differential equations (BSDE) and we establish the relation between the non linear BSDE and the partial differential equation (PDE). A comparison theorem for the solution of the BSDE is proved and the continuity of its law is studied.
Keywords
Cite
@article{arxiv.2005.06871,
title = {Partial differential equations associated to non linear backward stochastic differential equations with Gaussian Volterra processes},
author = {Habiba Knani},
journal= {arXiv preprint arXiv:2005.06871},
year = {2020}
}