Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems
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Publication:459935
zbMath1296.60178arXiv1204.3702MaRDI QIDQ459935
Publication date: 13 October 2014
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.3702
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Classical solutions to PDEs (35A09)
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A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs ⋮ Pathwise no-arbitrage in a class of delta hedging strategies
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