Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156469 | Stochastic Processes and their Applications | 2014 | 27 Pages |
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)
Authors
Zhen Wu, Zhiyong Yu,