Forward-backward stochastic differential equations and quasilinear parabolic PDEs |
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| Authors: | Etienne Pardoux Shanjian Tang |
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| Affiliation: | (1) LATP, CMI, Université de Provence, 39, rue F. Joliot Curie, F-13453 Marseille Cedex 13, France (e-mail: pardoux@gyptis.univ-mrs.fr), FR;(2) Department of Mathematics, Fudan University, Shanghai 200433, PRC, CN |
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| Abstract: | This paper studies, under some natural monotonicity conditions, the theory (existence and uniqueness, a priori estimate, continuous dependence on a parameter) of forward–backward stochastic differential equations and their connection with quasilinear parabolic partial differential equations. We use a purely probabilistic approach, and allow the forward equation to be degenerate. Received: 12 May 1997 / Revised version: 10 January 1999 |
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| Keywords: | Mathematics Subject Classification (1991): Primary 60H10, 60G44 Secondary 35K55 |
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