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Second Order BSDEs

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Backward Stochastic Differential Equations

Part of the book series: Probability Theory and Stochastic Modelling ((PTSM,volume 86))

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Abstract

The second order BSDE, or say BSDE under nonlinear expectation, can be viewed as a Sobolev type of solutions to path dependent HJB equations. Unlike the pathwise approach for the viscosity theory in the previous chapter, in this chapter the main tool is the quasi-sure stochastic analysis. An application in an uncertain volatility model is also presented.

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Authors and Affiliations

  1. Department of Mathematics, University of Southern California, Los Angeles, CA, USA

    Jianfeng Zhang

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  1. Jianfeng Zhang
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Zhang, J. (2017). Second Order BSDEs. In: Backward Stochastic Differential Equations. Probability Theory and Stochastic Modelling, vol 86. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-7256-2_12

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