Second order backward stochastic differential equations and fully non-linear parabolic PDEs

Patrick Cheridito; H. Mete Soner; Nizar Touzi; Nicolas Victoir

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Second order backward stochastic differential equations and fully non-linear parabolic PDEs

Patrick Cheridito·H. Mete Soner·Nizar Touzi·Nicolas Victoir

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Abstract

We introduce a class of second order backward stochastic differential equations and show relations to fully non-linear parabolic PDEs. In particular, we provide a stochastic representation result for solutions of such PDEs and discuss Monte Carlo methods for their numerical treatment.

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Patrick Cheridito, H. Mete Soner, Nizar Touzi, Nicolas Victoir. 2005-09-14. Second order backward stochastic differential equations and fully non-linear parabolic PDEs. https://arxiv.org/abs/math/0509295

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