paper

Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems

arXiv:1204.3702

Abstract

In this paper we study the relationship between functional forward-backward stochastic systems and path-dependent PDEs. In the framework of functional Itô calculus, we introduce a path-dependent PDE and prove that its solution is uniquely determined by a functional forward-backward stochastic system.

arXiv admin note: text overlap with arXiv:1108.4317

Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems · wovepaper