Second order backward stochastic differential equations and fully non-linear parabolic PDEs
Probability
2007-05-23 v1 Analysis of PDEs
Abstract
We introduce a class of second order backward stochastic differential equations and show relations to fully non-linear parabolic PDEs. In particular, we provide a stochastic representation result for solutions of such PDEs and discuss Monte Carlo methods for their numerical treatment.
Keywords
Cite
@article{arxiv.math/0509295,
title = {Second order backward stochastic differential equations and fully non-linear parabolic PDEs},
author = {Patrick Cheridito and H. Mete Soner and Nizar Touzi and Nicolas Victoir},
journal= {arXiv preprint arXiv:math/0509295},
year = {2007}
}
Comments
26 pages