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arXiv:math/0509295 [math.PR]AbstractReferencesReviewsResources

Second order backward stochastic differential equations and fully non-linear parabolic PDEs

Patrick Cheridito, H. Mete Soner, Nizar Touzi, Nicolas Victoir

Published 2005-09-14Version 1

We introduce a class of second order backward stochastic differential equations and show relations to fully non-linear parabolic PDEs. In particular, we provide a stochastic representation result for solutions of such PDEs and discuss Monte Carlo methods for their numerical treatment.

Comments: 26 pages
Categories: math.PR, math.AP
Subjects: 60H10, 35K55, 60H30, 60H35
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