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Abstract In this paper, by virtue of Malliavin calculus, we establish a relationship between backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs, and thus extend the… Click to show full abstract
Abstract In this paper, by virtue of Malliavin calculus, we establish a relationship between backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs, and thus extend the well-known nonlinear stochastic Feynman–Kac formula of Pardoux and Peng [13] to non-Markovian case.
Keywords:
stochastic differential;
doubly stochastic;
random coefficients;
backward doubly;
differential equations;
equations random
Journal Title: Journal of Mathematical Analysis and Applications
Year Published: 2019
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Journal Title: Journal of Mathematical Analysis and Applications
Year Published: 2019
Link to full text (if available)
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recommendations!