Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes

DOI10.1142/S0219493722500071zbMath1495.60060arXiv1907.13366OpenAlexW3213035180MaRDI QIDQ5065042

Adrien Barrasso, Francesco Russo

Publication date: 18 March 2022

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

Full work available at URL: https://arxiv.org/abs/1907.13366

zbMATH Keywords

Gaussian processesbackward SDEsVolterra processespath-dependent PDEsdecoupled mild solutions

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to PDEs (35D40)

Related Items (1)

Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations

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