Classical Solutions of Path-Dependent PDEs and Functional Forward-Backward Stochastic Systems
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2013-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2013/423101 |