Classical Solutions of Path-Dependent PDEs and Functional Forward-Backward Stochastic Systems

Shaolin Ji and Shuzhen Yang

Mathematical Problems in Engineering, 2013, vol. 2013, 1-11

Abstract:

In this paper we study the relationship between functional forward-backward stochastic systems and path-dependent PDEs. In the framework of functional Itô calculus, we introduce a path-dependent PDE and prove that its solution is uniquely determined by a functional forward-backward stochastic system.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:423101

DOI: 10.1155/2013/423101

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