paper

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

arXiv:math/0509295

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.

26 pages

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