Martingale Representations for Diffusion Processes and Backward Stochastic Differential Equations

DOI10.1007/978-3-642-27461-9_4zbMath1254.60064arXiv0910.4911OpenAlexW1593465650MaRDI QIDQ2906156

Jiangang Ying, Zhongmin Qian

Publication date: 29 August 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.4911

zbMATH Keywords

martingaleDirichlet formHunt processbackward SDEnon-linear equationsnatural filtration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic potential theory (60J45)

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