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

2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/76330We 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 pagesProbabilityAnalysis of PDEs60H10; 35K55; 60H30; 60H35Second order backward stochastic differential equations and fully non-linear parabolic PDEstext