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arXiv · 1204.3702

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

Shaolin Ji·Shuzhen Yang
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Abstract

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

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Shaolin Ji, Shuzhen Yang. 2012-04-17. Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems. https://arxiv.org/abs/1204.3702

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