Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems
classification
🧮 math.PR
math.AP
keywords
functionalforward-backwardpath-dependentstochasticpdessystemscalculusclassical
read the original abstract
In this paper we study the relationship between functional forward-backward stochastic systems and path-dependent PDEs. In the framework of functional It\^o calculus, we introduce a path-dependent PDE and prove that its solution is uniquely determined by a functional forward-backward stochastic system.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.