Second order backward stochastic differential equations and fully non-linear parabolic PDEs

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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.
26 pages

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Probability, Analysis of PDEs, 60H10; 35K55; 60H30; 60H35

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http://salesiana.dossiersoluciones.com/handle/123456789/76330

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0509295
 http://arxiv.org/abs/math/0509295

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arXiv