A probabilistic interpretation of the divergence and BSDE's

I. L. Stoica

Stochastic Processes and their Applications, 2003, vol. 103, issue 1, 31-55

Abstract: We prove a stochastic representation, similar to the Feynman-Kac formula, for solutions of parabolic equations involving a distribution expressed as divergence of a measurable field. This leads to an extension of the method of backward stochastic differential equations to a class of nonlinearities larger than the usual one.

Keywords: Backward; stochastic; differential; equations; Forward-backward; martingale; decomposition; Divergence; form; elliptic; operators; Non-linear; parabolic; equations; Dirichlet; spaces (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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