Non-Markovian fully coupled forward–backward stochastic systems and classical solutions of path-dependent PDES
DOI10.1080/07362994.2020.1780135zbMath1457.60099arXiv1204.3351OpenAlexW3042434632WikidataQ114100301 ScholiaQ114100301MaRDI QIDQ4964411
Publication date: 2 March 2021
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.3351
classical solutionsfunctional Itô calculuspath-dependent PDEsnon-Markovian fully coupled forward-backward systems
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)
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