标题:BSDE,path-dependent PDE and nonlinear Feynman-Kac formula
作者:PENG ShiGe;WANG FaLei;
作者机构:[PENG ShiGe;WANG FaLei]School of Mathematics, Shandong University;[PENG ShiGe;WANG FaLei]Qilu Institute of Finance, Shandong University;[PENG ShiGe;WA 更多
来源:Science China(Mathematics)
出版年:2016
期:01
页码:19-36
关键词:backward stochastic differential equation;nonlinear Feynman-Kac formula;path-dependent PDE
摘要:We introduce a new type of path-dependent quasi-linear parabolic PDEs in which the continuous paths on an interval [0, t] become the basic variables in the place of classical variables(t, x) ∈ [0, T ] × Rd. This new type of PDEs are formulated through a classical BSDE in which the terminal values an...
资源类型:期刊论文
原文链接:http://kns.cnki.net/kns/detail/detail.aspx?FileName=JAXG201601002&DbName=CJFQ2016
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