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arXiv:1810.06959 [math.PR]AbstractReferencesReviewsResources

Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs

Jiaqiang Wen, Yufeng Shi

Published 2018-10-16Version 1

In this paper, by virtue of Malliavin calculus, we establish a relationship between backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs, and thus extend the well-known nonlinear stochastic Feynman-Kac formula of Pardoux and Peng [14] to non-Markovian case.

Comments: To appear in Journal of Mathematical Analysis and Applications
Categories: math.PR
Subjects: 60H10
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