BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL-EQUATIONS AND SYSTEMS OF QUASI-LINEAR SPDES

Authors
PARDOUX E PENG SG
Citation
E. Pardoux et Sg. Peng, BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL-EQUATIONS AND SYSTEMS OF QUASI-LINEAR SPDES, Probability theory and related fields, 98(2), 1994, pp. 209-227
Citations number
11
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Probability theory and related fields → ACNP
ISSN journal
01788051
Volume
98
Issue
2
Year of publication
1994
Pages
209 - 227
Database
ISI
SICI code
0178-8051(1994)98:2<209:BDSDAS>2.0.ZU;2-G
Abstract
We introduce a new class of backward stochastic differential equations , which allows us to produce a probabilistic representation of certain quasilinear stochastic partial differential equations, thus extending the Feynman-Kac formula for linear SPDE's.