Abstract
The theory of backward stochastic differential equations (BSDEs) was pioneered by Pardoux and Peng [PaPe90]. It became now very popular, and is an important field of research due to its connections with stochastic control, mathematical finance, and partial differential equations. BSDEs provide a probabilistic representation of nonlinear PDEs, which extends the famous Feynman-Kac formula for linear PDEs. As a consequence, BSDEs can be used for designing numerical algorithms to nonlinear PDEs.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
