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

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math.PR2005★ 4 cited

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

Patrick Cheridito, H. Mete Soner, Nizar Touzi +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 repres…