Second order backward stochastic differential equations and fully non-linear parabolic PDEs

H. Mete Soner; Nicolas Victoir; Nizar Touzi; Patrick Cheridito

arxiv: math/0509295 · v1 · submitted 2005-09-14 · 🧮 math.PR · math.AP

Second order backward stochastic differential equations and fully non-linear parabolic PDEs

Patrick Cheridito , H. Mete Soner , Nizar Touzi , Nicolas Victoir This is my paper

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keywords pdesstochasticbackwarddifferentialequationsfullynon-linearorder

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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.

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Second order backward stochastic differential equations and fully non-linear parabolic PDEs

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