paper

Non-Markovian Fully Coupled Forward-Backward Stochastic Systems and Classical Solutions of Path-dependent PDEs

arXiv:1204.3351

Abstract

This paper explores the relationship between non-Markovian fully coupled forward-backward stochastic systems and path-dependent PDEs. The definition of classical solution for the path-dependent PDE is given within the framework of functional Itô calculus. Under mild hypotheses, we prove that the forward-backward stochastic system provides the unique classical solution to the path-dependent PDE.

arXiv admin note: text overlap with arXiv:1108.4317

Non-Markovian Fully Coupled Forward-Backward Stochastic Systems and Classical Solutions of Path-dependent PDEs · wovepaper