{
  "id": "math/0509295",
  "version": "v1",
  "published": "2005-09-14T01:24:52.000Z",
  "updated": "2005-09-14T01:24:52.000Z",
  "title": "Second order backward stochastic differential equations and fully non-linear parabolic PDEs",
  "authors": [
    "Patrick Cheridito",
    "H. Mete Soner",
    "Nizar Touzi",
    "Nicolas Victoir"
  ],
  "comment": "26 pages",
  "categories": [
    "math.PR",
    "math.AP"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2005-09-14T01:24:52.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "35K55",
      "60H30",
      "60H35"
    ],
    "keywords": [
      "second order backward stochastic differential",
      "order backward stochastic differential equations",
      "fully non-linear parabolic pdes"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 26,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2005math......9295C"
    }
  }
}