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

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dc.creatorCheridito, Patrick
dc.creatorSoner, H. Mete
dc.creatorTouzi, Nizar
dc.creatorVictoir, Nicolas
dc.date2005-09-14
dc.date.accessioned2026-07-07T05:23:10Z
dc.date.available2026-07-07T05:23:10Z
dc.descriptionWe 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.
dc.description26 pages
dc.identifierhttps://arxiv.org/abs/math/0509295
dc.identifierhttp://arxiv.org/abs/math/0509295
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/76330
dc.subjectProbability
dc.subjectAnalysis of PDEs
dc.subject60H10; 35K55; 60H30; 60H35
dc.titleSecond order backward stochastic differential equations and fully non-linear parabolic PDEs
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