Forward-backward stochastic differential equations and quasilinear parabolic PDEs
成果类型：
Article
署名作者：
Pardoux, E; Tang, SJ
署名单位：
Aix-Marseille Universite; Fudan University
刊物名称：
PROBABILITY THEORY AND RELATED FIELDS
ISSN/ISSBN：
0178-8051
DOI：
10.1007/s004409970001
发表日期：
1999
页码：
123-150
关键词：
摘要：
This paper studies, under some natural monotonicity conditions, the theory (existence and uniqueness, a priori estimate, continuous dependence on a parameter) of forward-backward stochastic differential equations and their connection with quasilinear parabolic partial differential equations. We use a purely probabilistic approach, and allow the forward equation to be degenerate.
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