The link between stochastic differential equations with non-Markovian coefficients and backward stochastic partial differential equations

DOI10.1007/s10114-020-9345-xzbMath1480.60165OpenAlexW3016400390MaRDI QIDQ2025270

Lin Lin, Qi Zhang, Fang Xu

Publication date: 11 May 2021

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-020-9345-x

zbMATH Keywords

stochastic differential equationsFeynman-Kac formulaGirsanov transformationbackward stochastic partial differential equationsnon-Markovian coefficients

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

Path independence of the additive functionals for McKean–Vlasov stochastic differential equations with jumps

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