Partial differential equations associated to non linear backward stochastic differential equations with Gaussian Volterra processes

Habiba Knani

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arXiv · 2005.06871

Partial differential equations associated to non linear backward stochastic differential equations with Gaussian Volterra processes

Habiba Knani

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Abstract

In this paper, we generalize to Gaussian Volterra processes the existence and uniqueness of solutions for a class of non linear backward stochastic differential equations (BSDE) and we establish the relation between the non linear BSDE and the partial differential equation (PDE). A comparison theorem for the solution of the BSDE is proved and the continuity of its law is studied.

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Habiba Knani. 2020-05-14. Partial differential equations associated to non linear backward stochastic differential equations with Gaussian Volterra processes. https://arxiv.org/abs/2005.06871

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