论文信息 - Backward doubly stochastic differential equations and systems of quasilinear SPDEs

Backward doubly stochastic differential equations and systems of quasilinear SPDEs

SummaryWe introduce a new class of backward stochastic differential equations, which allows us to produce a probabilistic representation of certain quasilinear stochastic partial differential equations, thus extending the Feynman-Kac formula for linear SPDE's.

Shige Peng | Etienne Pardoux | S. Peng | É. Pardoux

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