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Second order backward stochastic differential equations and fully non-linear parabolic PDEs
- Publication Year :
- 2005
- Publisher :
- arXiv, 2005.
-
Abstract
- 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.<br />Comment: 26 pages
Details
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....ff83e4e02d06257cb80d8a5ec9ed8400
- Full Text :
- https://doi.org/10.48550/arxiv.math/0509295