Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations

DOI10.1214/21-AIHP1158zbMath1494.35071arXiv2004.05825OpenAlexW3015206066WikidataQ113752012 ScholiaQ113752012MaRDI QIDQ2155507

Yanyan Li

Publication date: 15 July 2022

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.05825

zbMATH Keywords

viscosity solutioncomparison principleFeynman-Kac formulaforward backward stochastic Volterra integral equationpath dependent partial differential equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) PDEs with randomness, stochastic partial differential equations (35R60) Volterra integral equations (45D05) Stochastic integral equations (60H20) Second-order parabolic equations (35K10) Viscosity solutions to PDEs (35D40)

Related Items (6)

Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations ⋮ Nonlocality, nonlinearity, and time inconsistency in stochastic differential games ⋮ Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators ⋮ Variation of constants formulae for forward and backward stochastic Volterra integral equations

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