Extended backward stochastic Volterra integral equations, Quasilinear parabolic equations, and Feynman–Kac formula

DOI10.1142/S0219493721500040zbMath1470.60143arXiv1908.07168OpenAlexW3012154301MaRDI QIDQ4965637

Hanxiao Wang

Publication date: 9 March 2021

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.07168

zbMATH Keywords

probabilistic representationnonlinear Feynman-Kac formulabackward stochastic Volterra integral equationquasilinear parabolic partial differential equation

Mathematics Subject Classification ID

Stochastic integrals (60H05) Volterra integral equations (45D05) Stochastic integral equations (60H20) Second-order parabolic systems (35K40) Quasilinear parabolic equations (35K59)

Related Items (8)

Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ Mean-field backward doubly stochastic Volterra integral equations and their applications ⋮ Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures ⋮ Nonlocality, nonlinearity, and time inconsistency in stochastic differential games ⋮ Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems ⋮ Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations ⋮ Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators

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