A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

DOI10.1016/j.spa.2019.05.013zbMath1471.60082arXiv1602.05793OpenAlexW2964201745MaRDI QIDQ2301492

Lucian Maticiuc, Luca Di Persio, Francesco Giuseppe Cordoni, Adrian Zalinescu

Publication date: 24 February 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.05793

zbMATH Keywords

backward stochastic differential equationsFeynman-Kac formulaviscosity solutionstime-delayed generatorspath-dependent partial differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Applications of anticipated BSDEs driven by time-changing Lévy noises ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ BSDEs and SDEs with time-advanced and -delayed coefficients ⋮ A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps ⋮ Stochastic maximum principle for optimal liquidation with control-dependent terminal time ⋮ Feynman-Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations ⋮ Time-delayed generalized BSDEs ⋮ A BSDE with delayed generator approach to pricing under counterparty risk and collateralization

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