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Classical Solutions of Path-Dependent PDEs and Functional Forward-Backward Stochastic Systems

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  • Shaolin Ji
  • Shuzhen Yang

Abstract

In this paper we study the relationship between functional forward-backward stochastic systems and path-dependent PDEs. In the framework of functional Itô calculus, we introduce a path-dependent PDE and prove that its solution is uniquely determined by a functional forward-backward stochastic system.

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  • Shaolin Ji & Shuzhen Yang, 2013. "Classical Solutions of Path-Dependent PDEs and Functional Forward-Backward Stochastic Systems," Mathematical Problems in Engineering, Hindawi, vol. 2013, pages 1-11, May.
    • Handle: RePEc:hin:jnlmpe:423101
    DOI: 10.1155/2013/423101
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