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ArticleBSDE, path-dependent PDE and nonlinear Feynman-Kac formula

Shige Peng A2015

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Articlegreen2015

BSDE, path-dependent PDE and nonlinear Feynman-Kac formula

Shige Peng A · Falei Wang

83 citations·0/0 files stored·Science China Mathematics

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Differential Equations and Boundary Problems

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References

1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations 2007Forward-Backward Stochastic Differential Equations and their Applications 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type 1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations 2005A regression-based Monte Carlo method to solve backward stochastic differential equations

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2020Viscosity solutions to parabolic master equations and McKean–Vlasov SDEs with closed-loop controls 2015Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations 2011Note on Viscosity Solution of Path-Dependent PDE and G-Martingales 2019A martingale approach for fractional Brownian motions and related path dependent PDEs 2017

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Year2015

Typearticle

Published2015-10-21

VenueScience China Mathematics

ISSN-L1869-1862

Languageen

Citations83

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11425-015-5086-1

openalex_workW2143365754

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Theory, methods and meaning of nonlinear expectation theory

2017Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs

2016An infinite-dimensional approach to path-dependent Kolmogorov equations

2016An infinite-dimensional approach to path-dependent Kolmogorov equations