Backward stochastic differential equations with rough drivers

DOI10.1214/11-AOP660zbMath1259.60057arXiv1008.0290OpenAlexW2962676822MaRDI QIDQ439882

Joscha Diehl, Peter K. Friz

Publication date: 17 August 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.0290

zbMATH Keywords

stochastic partial differential equationsbackward stochastic differential equationsbackward doubly stochastic differential equationsrough path analysis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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