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A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance |
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| Affiliation: | 1. School of Sciences, Beijing University of Chemical Technology, Beijing, PR China;2. School of Mathematics and Information Science, Beifang University of Nationalities, Yinchuan, PR China;3. Department of Mathematics and Statistics, Concordia University, 1455 de Maisonneuve Blvd. West, Montreal, Quebec, H3G 1M8, Canada |
| Abstract: | |
| Keywords: | Path-dependent partial differential equations Viscosity solutions Feynman–Kac formula Backward stochastic differential equations Time-delayed generators |
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