Article ID Journal Published Year Pages File Type
1156469 Stochastic Processes and their Applications 2014 27 Pages PDF
Abstract

In this paper, we study a kind of system of second order quasilinear parabolic partial differential equation combined with algebra equations. Introducing a family of coupled forward–backward stochastic differential equations, and by virtue of some delicate analysis techniques, we give a probabilistic interpretation for it in the viscosity sense.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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