标题:BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
作者:Peng ShiGe; Wang FaLei
作者机构:[Peng Shige] School of Mathematics, Shandong University, Jinan, Shandong 250100, China.;[Wang Falei] Institute for Advanced Research, Shandong Univers 更多
通讯作者:Peng, SG(peng@sdu.edu.cn)
通讯作者地址:[Peng, SG]Shandong Univ, Sch Math, Jinan 250100, Peoples R China.
来源:中国科学. 数学
出版年:2016
卷:59
期:1
页码:19-36
DOI:10.1007/s11425-015-5086-1
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) a [0, T] x R (d) . This new type of PDEs are formulated through a classical BSDE in which the terminal values and the generators are allowed to be general function of Brownian motion paths. In this way, we establish the nonlinear Feynman-Kac formula for a general non-Markovian BSDE. Some main properties of solutions of this new PDEs are also obtained.
收录类别:CSCD;SCOPUS;SCIE
WOS核心被引频次:12
Scopus被引频次:10
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-84944909150&doi=10.1007%2fs11425-015-5086-1&partnerID=40&md5=ce060108f0e810ec86b95576b49a9b32
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