Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems
Probability
2012-04-18 v1 Analysis of PDEs
Abstract
In this paper we study the relationship between functional forward-backward stochastic systems and path-dependent PDEs. In the framework of functional It\^o calculus, we introduce a path-dependent PDE and prove that its solution is uniquely determined by a functional forward-backward stochastic system.
Cite
@article{arxiv.1204.3702,
title = {Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems},
author = {Shaolin Ji and Shuzhen Yang},
journal= {arXiv preprint arXiv:1204.3702},
year = {2012}
}
Comments
arXiv admin note: text overlap with arXiv:1108.4317